Your follow list is stored on a list in relays that are linked to your npub, when you login to a new client the client pulls that data from the relays.

The larger relays are probably storing more information about us than we realize.

When you get your Start9 server, that has Nostr Relay software in the Marketplace. You can install that to run your own relay so you aren't just relying on public ones to store your data.