There are LOTS of reasons why you'd want redundant off-site backup.
Ring can hire all of the armed guards in the world, and it won't protect your data from Ring.
With the density of modern storage media, the secure box could be quite small, much smaller even than a typical residential safe. And it needn't necessarily be accessible like a typical safe. If you design it right, it needn't even have a door that could be pried open with sufficient leverage.
It could at the same time be disguised. It could be bolted to a concrete wall, covered with a fake electrical conduit box (which would help disguise the wires going into it), then completely covered over by drywall. To find it you'd need to gut the house, and in the unlikely event that the thief found it they'd still be left with a hard nut to crack.
It's not even expensive. I have a couple of NASes in my home, but it would take a pretty intensive search to find them -- certainly more than a thief has time for. (I don't hide them to keep them from thieves, I hide them to keep them out of sight and out of the way for aesthetic reasons.)
If the NAS is outside of your home, where do you put it? Only the 1% own multiple homes and asking your parents or friends to hold it would just be...weird and complicated.
And then you'd need to keep a separate NAS in your home, for the camera pointed at the NAS in your parent's house of course.
Suffice it to say, it kind of makes sense to let Ring store all of the video in one central location since they can just hire armed guards to keep it safe. If you yourself can afford armed guards, you're probably not in their target market.