At this time, windows phone doesn't offer what you want. maybe another mobile device / ecosystem would be best for you. I could say nothing, but I am here to help and not troll. My contribution is if you don't like the way it is, then find something that works for you. Windows Phone has been like this for close to 3 years and unfortunately there isn't even any rumors of them adding this function of syncing directly with your computer.
Personally I think it would be great if they added more options.
About the cloud, I have lost my calendar, contacts and email when I had everything in outlook 2003 when my computer hard drive fried. My backup didn't work as well. I remember when google sync first came out for Blackberry, it was a life saver as my contacts were at least saved. I have used sync services like google/gmail, mobileme/icloud and hotmail/outlook.com for about 7 years or more now, via these services I have never lost any data. If you have nothing to hide, and what I mean about this is, if you are severely concerned about your privacy than these services are not for you, and most likely Windows Phone at this time isn't right for you.
Once again, there are some work arounds but they are buggy and mostly don't work well.
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