as seen in the documentation, "IoT Hub is a managed service, hosted in the cloud, that acts as a central message hub for bi-directional communication between your IoT application and the devices it manages.".
It's a message hub that outputs incoming messages to other Azure resources which are subscribed to certain messages.
The IoT Hub can support eg. Azure Storage, Azure Stream Analytics, or Azure Functions.
Azure Storage is great for cool or cold storage, just put all raw data over there for later analysis by a data scientist.
So yes, you need to pick up the messages yourself and put them into a SqlAzure database or show it in Power BI or run a global Website that uses Cosmos DB data that you routed into there.
Under the hood, there is some kind of storage, but only as internal, temporary storage until messages are picked up (incoming messages have a Time-To-Live for up to 7 days).
I recommend the MS Learn Introduction to Azure IoT learning path which looks into this more closely.