I made this test: I created a retention policy attached to a label. The retention policy specified, that content that have this label applied should be retained for one month. I then opened the SharePoint site that was created automatically when I created a team in Teams, created a Word document, wrote some text, saved the document in the default document library and finally attached the label to the document. Then I tested that I was unable to delete the document, and it worked as expected. I then deleted the entire team, after having confirmed, that I accept that this action will delete all content including content in the attached SharePoiont site and the team was deleted.
Conclusion: Retention policies only apply to content if you try to delete the content directly - not if you delete the "container" that holds the content.
Is that by design, a bug or me having misunderstood the concept?
UPDATE: It turns out that the SharePoint site wasn't deleted after all. The team was deleted but the site survived. I then tried to create a new team with the same name, and this resulted in a new SP site was was created, only this had a "2" appended to the url.
This of course means that if you apply mandatory retention policies to SharePoint documents, the number of sites will forever increase. I hope it will soon be possible to apply naming conventions!