When you press the Save button for selected Events, those Events won't be purged as part of the rolling retention period in cloud storage.
Normally, Events older than your Subscription Plan's retention period are deleted automatically. For example, if you have standard 30-day video history, any Event that happened more than 30 days ago will be deleted automatically.
Currently, saved Events are never deleted. However, that policy may change, so it's best to download anything that you really want to keep forever.