Just wondering if a normal mikrotik backup also backs up usermanager? Have lots of backups of the whole system but no database backups yet and the database seems to have totally disappeared. Thanks

Database is not included into regular backup, you have to run separate command,
http://wiki.mikrotik.com/wiki/User_Manager/Backup

What exactly does it backup? Transactions, sessions, logs? I'm concerned with how much drive space it will take up. Does it compress the data at all?

Where can it backup the data to? anyplace other than the boot drive?

Which backup you are asking ?
Backup could be saved only to boot drive.