Today I currently use Mega Sync to backup and sync some important files. However I would like to use something that is more privacy focus. I found this software called Reilio. It is some kind of file sync that uses a modified version of the bit torrent protocol to share files between your devices. But then I am wondering, if say both my my desktop and laptop burns up, then all my files are gone right? I would still have to either setup my own backup server somewhere or backup my files every now and then to a harddrive?
Well, yes, if all the devices that your data is on burn up, then yes your data is gone.
However the question is how likely is it that 2 separate devices burn up at the same time? Unless you mean an actual house fire, in which case the 3-2-1 rule applies: 3 copies, 2 mediums, 1 off-site, meaning you have at least 2 copies locally on 2 different mediums (which would be your PC and Laptop in that case, although “medium” usually refers to different types of data storage, for example HDD and SSD - imagine a strong magnetic pulse that would destroy an HDD, but leave the SSD intact), and at least one copy off-site (in case of house fire for example).
I don’t know how many devices you can use with Resilio (in the free version, if there is even one), but you might also want to look into SyncThing, which is Open Source and you can add as many devices as you like, including phones.
I made the migration to NextCloud on premise from Dropbox this month, because I had data on it that I couldn’t afford to be made public if it ever got hacked. Sync on mobile device now require VPN back to base but I can live with that. I have the same concern as you so I now keep a USB encrypted hard drive at my relatives nearby whom I visit often. Once a month on one trip I pick it up, then on the next trip I put it back with latest snapshot of my production drive. Not perfect but I will at most loose 2 weeks of data. At some point I will put a Raspberry Pi there with the disk attached so I can do it remotely.