When installed locally, SQLBackupAndFTP backs up databases using BACKUP DATABASE command. You get a single *.bak file that you can restore using RESTORE DATABASE command.
For remote or hosted SQL Server instances (where you can connect to these instances using SQL Management Studio) - SQLBackupAndFTP backs up databases using scripting ("remote backup"). You get one or several *.sql files with CREATE, INSERT T-SQL statements that recreate database. You generally can not use BACKUP DATABASE command for remote servers because backup file would be created on that remote server and getting it to you local PC would be problematic.
Remote backup feature is in permanent Beta because of the complexity of the task. There's no harm of damaging the existing database during backup, but we can not guarantee your restore 100%. You should try the restore for yourself. Use Remote only if Local installation is not possible. Note that SQL Server 2000 is not supported for remote backup, all other versions are supported.
For more info, see
remote backup