Reading through the /management/backup.py script it seems that the backup is run and saved locally. After this, if there is a remote backup it is copied to the remote location. I do not see where the script would delete the backup from the server, so … my guess is that the default behaviour is to keep the backup in both locations, but seemingly that is not what you are seeing.
But then again I am not into scripting, so I may just be missing something.