You could use a desktop e-mail client like Thunderbird and include its data in your backups and maybe occasionally export it somewhere in a standard exchange fo

You could use a desktop e-mail client like Thunderbird and include its data in your backups and maybe occasionally export it somewhere in a standard exchange format for e-mail folders. You can even re-upload such local data to another e-email provider if you switch. All of that seems easier than setting up a server to keep your e-mails.