@albertoh1040
eDiscovery feature is able to search and export all the mailbox data to *.pst file under Exchange Online Admin Center, btw, I don't think it is a proper 'backup' approach, If you need to keep in compliance level, you can consider litigation hold or in-place hold.
If both of the above do not fit to your case, you may consider 3rd party solution rather, such as Veeam, etc.
