There is a common misconception that Microsoft fully backs-up Office 365 files within OneDrive and SharePoint libraries…this is not the case.
Microsoft is responsible for providing the necessary infrastructure – and ensuring Office 365 works – but the customer is responsible for protecting their own data.
Without a back-up location, this data cannot be protected and stored centrally for easy access and recovery. To avoid this risk, you need to back up your Office 365 data.