I don't believe they use the traditional cold storage methods anymore(Usb/Device in a phyiscal vault or paper in a physical vault etc). They generate the keys offline and split the keys using a secret sharing method among a quorom of keyholders. So they are geographically dispersed and if one subset on keys were to be lost, there's still a possibility of regenerating by obtaining the other sets from the Quorom
Backups are important whether the thing being backed up is online or not.