Hello,
Backups are only stored locally when you have no remote destinations configured. I've opened case CPANEL-6370 to address the wording of this message to avoid confusion when only local backups are configured. I'll update this thread with more information on the status of this case as it becomes available.
Thank you.
04-02-2019 Update: CPANEL-6370 was closed due to a lack of new support requests. Please feel free to reply to this thread if this issue continues to present a problem.