True, the configuration is on the cloud and you can factory default your device, it will regain it's previously running config from the cloud.
But as you stated, you want a personal backup, even if this just for keeping locally or if it is for rolling back changes you're not satisfied with then it's not as simple as getting a config file like you have on a locally managed device. You can get the config, but through API calls. And it's not one config file, it are multiple JSON constructs.