Until now I don't think it's been terribly important. Mostly it's just game save / config files.

Although I suspect that all the steam cloud files are present locally and only put on the steam cloud as backup.

I recently switched out my primary hard drive; I was able to backup and transfer all my save data by copying save files from my user folder, eg: C:/Users/myname

Valve does the "cloud" right. Everything is local but on the cloud as backup if needed.