It depends. The issue with non-licensed mailboxes in O365 mostly means that we can't do a backup anymore, because the API connections to that mailbox are blocked when there is no license anymore. We did notice however that sometimes due to something within your tenant you get this notification although afterwards it works again. But if you have removed the license from the user, then it will be indeed skipped.
For the deletion: Yes, we won't delete it from the backup. You can keep it in the repository but it will follow the retention. Some customers tell me that they take a PST backup of a deleted user and store it somewhere (in a vault or something like that) for a longer period "just in case". Obviously, because that user doesn't exist anymore, the VBO license for that user will become free after 31 days (to be used for another user) but even after those 31 days we won't delete the data from the repository.