It does only exist on your device. Sadly, the WhatsApp client will receive a message from WhatsApp backend: "Fred Smith got a new phone and you should trust this new public key from Fred because I say so. Fred would love to have all the context so please re-send the old messages but encrypted with this new key." The WhatsApp client helpfully complies and hopes that Fred really did get a new phone and it's not Eve who somehow tricked WhatsApp into believing she was Fred. Or maybe WhatsApp was compelled by a lawful order to make it look as if Fred got a new phone.

The WhatsApp client never requests or even informs the user that this event took place. Though it is possible to change the config opt-in to get informed whether this occurred, it is not possible to deny the request for old messages.