CORRECTION: Chats are only journaled to Exchange mailboxes for data compliance. Messages are actually stored in Cosmos DB. https://youtu.be/V6B4KraD-FM?feature=shared&t=319

Contacts and voicemail are stored in Exchange.

Diagram of data storage locations: https://youtu.be/V6B4KraD-FM?feature=shared&t=454

M365 Groups are still SharePoint + Exchange.