The key is included in the iCloud backup stored by Guizhou on the “Cloud Big Data Industrial Development Co., Ltd.“

https://support.apple.com/en-us/HT208351

If you use iCloud backups then your iMessage key is stored unencrypted regardless of which country you're in. That's a main point of this article.

Apple's decision to store the keys on Chinese servers was criticized because it effectively reduced security for Chinese iCloud users:

> Chinese users of Apple’s iCloud service will see their data–along with that data’s cryptographic keys–stored inside the country beginning Wednesday, Reuters reports. The move will mean that Chinese authorities will have easier access to Chinese users’ iCloud data than before when that data was stored in the U.S. The move is a contentious one, as human rights activists say Chinese authorities will now have an easier means of obtaining dissidents data since it no longer needs to go through the U.S. legal system to get Apple to hand over its cryptographic keys for Chinese users.

https://www.fastcompany.com/40535933/apple-will-store-icloud...

iMessage is. iMessage backups are not.

Yes, same as everywhere else.