PDFs added to endnote automatically will end up in the .DATA folders. Those that you drag and drop can be handled according to your preferences, either relative (in the .DATA folder structure) or stay where they were (Absolute). Those stored as “Absolute” can be copied and converted to “relative”. If you compress a library with absolute links, the PDFs are not compressed in the library, they stay where they were. If you move to a new computer, you have to maintain the relative location of the PDFs structure, or the links will break. I actually don’t know what happens when you sync a library to the cloud storage, to those PDFs that are stored in the absolute location. – probably not synced?
So to be safest, you need to make regular backups. I have one big library and keep it synced and keep it backed up, as well. My PDFs are always stored as relative links and are therefore in the data folders and are synced to the cloud. (plus they are all backed up, as I said). Mini-libraries just take up more space (and duplicate the PDFs), so I don’t ever create those. I have 5.6 K references, but only about a third of those have any PDF attachements. It is about 2.3 Gbs
I have no degradation of Endnote functionality on a Windows machine.