Hopefully this will help.
IMAP Mail is stored on the mail server at your ISP. The IMAP account folders are simply showing you the mail as it is stored on the server. (The advantage of this arrangement, is that you can use multiple computers to access the same mail account (like you can with web mail)- unlike POP mail where is is downloaded to the local machine).
In Thunderbird, you can create "local folders" which are stored on your hard disk (as you have seen in the "C:\Users\[Username]\AppData\Roaming\Thunderbird\Profiles\xxxxxxxx.default" folder - although I think you can change this)
I'm pretty certain the IMAP folder will either be a cache of the server, and may not hold everything on the server.
If you wan't to back up the IMAP mail, you can move (if you have limited space on the server) or copy the IMAP Folders (within thunderbird, not file explorer) to the local folders. You can then back these up, by copying the whole thunderbird profiles folder on you C drive.
Note though, that if you MOVE email from the IMAP folders to local folders, they will no longer be available from other machines.