Cloud backup for data on the SD card is strongly recommended when using this feature. (blogs.windows.com)
The service also provides cloud backup of your save data online, which should be handy, especially when switching, replacing your devices or something along those lines. (altchar.com)
If you only have a small amount of data to keep backed up, check out my List of Free Cloud Backup Plans for several, infinitely less expensive options. (lifewire.com)