There multiple ways to 'backup' in Marketing Cloud.
There is not a simple function per-se, but for data extensions and All Subscribers, you could perform a Data Extract and extract all records to FTP etc.
For backing up data extension schema's and backing up emails, again, nothing really out of box, but we have built a custom backup 'app' which uses the SFMC API to retrieve/copy the schemas and emails.
If you are implementing MCC and Sycronised Data Extensions, then your risk is low.
It shouldn't affect your Emails, or other data extensions - but every deployment is different.
The risk to watch out for is mainly your Contact Model, if you bring in the incorrect Contacts (e.g. connectng to incorrect SF environment) then you will end up messing up / duplicating your contacts in SFMC