Hi and welcome on board! The warning you are seeing is, because it is never a good idea to store the backups at the very same disk/server. Ideally those should be stored in some other datacenter or such. For Cloudron the backups also are per-app to allow per-app restore if an update failed or something else is broken. This makes the backup service for the whole server not very useful, nevertheless it is still some safety net of course.
Ideally you should choose between one of the storage providers we currently support https://cloudron.io/documentation/backups/#storage-providers For your case DigitalOcean Spaces might be a good option.