Unironically this, if you couldn’t possibly trust any Lemmy admin with your data. Host your own single user Lemmy/mbin/Piefed instance and you set the rules. If you can trust a cloud VPS provider then use that, but if even that is too risky in your view, then self-host. Note it costs money and you will have to put a lot of effort to safeguard yourself from spam attacks and info-stealing.
Using someone else’s server means ultimately entrusting your information for safekeeping with the admin. I’m not that paranoid but it all depends on the tradeoffs you want to pay for.
AFAIK, It’s to solve or mitigate the “Replies from other servers may be missing” issue.
Essentially imagine you are signed in on server A, responding to or looking at a comment from server B. But people on servers C, D and E have faved, boosted or replied to that same comment. Unless you or someone on your server had followed people on the other servers, you can’t see those comments or their contributions to the boost count, unless you go to view the comment on server B’s site.
Backfilling means server A fetching those other actions from other servers somehow, so that they will show up when you view it from your own server reliably. Examples of that somehow could be, obtaining all the info from server B (localized single source of truth), it could be collected individually from other servers, from a centralized server, or other means.