Link was never meant to be any firm's or taxpayer's DMS.  It's a portal that's controlled by Intuit and made available to ProConnect users but only those with current subscription.  If you don't have a current subscription, you will lose access to Link for all years, period.  For this reason alone, you should always download your data from Link.

The best way to download discussion threads and documents from Link will be as a ZIP file.  The discussion threads would be saved as a CSV file that's actually quite easy to follow (except Intuit should really restore the records of actual dates instead by reference to the number of days or months ago, which loses meaning without a base date to compare against).

Link is backed up automatically by Intuit.  The risk of losing your data is low.  However, the backup is only for Intuit's benefit, not yours.  If you accidentally deleted your data, Intuit has no obligation to help you restore anything from backup copies they maintain.