Sorry, I was joking. Yes, relays store the notes, the media is stored on services like nostr.build 

My current understanding, but I'm still refining this, is that because an npub has its "write" relays listed, so if you are following them, you will read signed messages from their relays to populate your feed. 

Thus, sometimes, you may not get a complete feed for everybody you follow as some relays may be unreachable.

This is quite a good article that explains the concept better:

nostr:note1cucn74klqf3d0heputr4sk9c7xyhv37eyt3urlj2a362lqz8qdnq3034pt