Starting with Backup Pro 3, you can now create an unlimited number of storage locations, each with custom rules, to store and access your backups. Be aware that depending on where you store your backups certain functionality won't be available.. Each Storage Location allows you to choose whether database and/or file backups are stored there, whether it's included in any automated pruning, and can even be toggled for status.
In order for Backup Pro to save your backups, you'll HAVE to setup at least 1 Storage Location upon installation but there are no rules about what type. If you want to store backups ONLY on a remote SFTP server or Amazon S3, you can. There just has to be at least 1 active Storage Location available.
Backup Pro will walk you through creating Storage Locations, as well as making sure they're setup correctly, but if you're curious about the details check out the below: