You have a lot of faith in those company backups. I've seen time and time again where folks who did similar got burned when the backups were not any good.
Only way to guarantee quality backups is to do them yourself and then test them regularly.
This is much easier on a VPS/dedi with a simple CRON job running a script (or scripts if doing multiple sites) and then having a secondary location to store them on programatically.
I agree and even if the backup turns out to be OK it can take days or even weeks to restore everything in the event of a catastrophic failure. It's not uncommon for a web host to suggest site owners restore from their own backup.
As suggested I use a cron job to backup the files and database every night. More importantly I and a member of my staff each download a copy of the database most days to a local drive. The installed files get downloaded in the same manner after any changes are made e.g. after a software update.
I also periodically test both downloads on a separate server. This has a secondary benefit of providing an installation to test upgrades etc.
Yeah I wouldn't rely on my hosting to back up everything. I prefer to back up everything myself, that way if my host goes down and the backups that get restored are older I have my own backup to fall back on.
I have it set in my hosting to auto-backup once a day. I have in the past had issues when I was only backing up once a week, and the amount of content you can lose in a week is shocking, so daily seems best.