There are a few reasons why you want to do that:
1. Microsoft does provide some sort of backup and is presenting you with an SLA to keep everything up and running, but:
* It doesn't save you from accidental deletion (both from the user side or an administrator mistake)
* Or even worse: an angry admin who goes in and starts deleting users.
* Hackers or malware (even ransomware which has happened already once on the O365 service
2. It still remains your data and you are responsible for it.
* While Microsoft hosts it, if something happens and you need to prove things legally but you can't, then you won't be able to blame MSFT. So it remains an insurance
3. You can do eDiscovery on those backups and export/ restore/ save...
* Maybe you are familiar with our Veeam explorer for Exchange technology, which we continue to improve. Now you will be able to do all those searches on your backup. You can even view headers now in case something bad came in.
4. Soon it will be even more important
* At least if you start using OneDrive for Business and/ or SharePoint Online which will be included in the next version
* I'm sure you can understand that users will make more mistakes in those (as in: let's delete some files we don't need anymore or similar
5. When you stop with O365, it literally stops.
* But you will still have the data and the possibility to export/ restore (even to on-prem or to another O365 tenant)
6. 3-2-1 rule
If you run the O365 solution as a VM, you can then protect that VM with VBR (and send it to another location/ cloud/ tape...) and comply with the 3-2-1 rule
Those are just a few reasons that I would use. But I also would like to tell you that it might not be necessary to bring it back on-prem. We have customers who run this as an IaaS instance in either Azure or Amazon or Google or whatever cloud and we are having service providers also who offer this as a service so you can rent the backup from them.
Hope it helps a bit