They do remove content directly from relays. They claim they only remove content that is illegal to host, but I don't know how true that is, and there is always the risk it could change in the future.
https://docs.bsky.app/blog/blueskys-moderation-architecture#...
If that becomes a massive problem - host a relay with different moderation policy.
I want the bsky org to be able to choose what content they host (and I think the internet would be a better place without section 230 protections allowing hosts to ignore the content they distribute); the promise as I understood it was that relays could be hot pluggable. If someone stopped carrying content (maybe it was illegal in /their/ region and not yours) you could failover to another relay.
However there is very little incentive to mirror any of the firehouse if someone else is doing it for free.