Yeah, your data is "yours", but you need to realize that when you send your data to a remote server, "your" data is processed and stored by multiple third party machines anyhere in the world. You have no control over what they get to see, share and even store. There is this legal wall that makes them tell you what they do and what they don't, but you really have no way to tell. More often than not, when you "delete" some data from a website or online service, it's not really destroyed, it gets hidden from you.
I'm a programmer so I may know one thing or two. There are laws regarding this, and I'm not saying your data is strictly being unlawfully used, my main point is you don't know for sure what is done with your data when it reaches a third party machine. When you back up locally you have 100% control of your data, when you send it to the cloud, you don't.