Ideally I'd say it's just the number in the database that tells Kentico what the current hotfix version is.
But I can imagine scenario's where there is a 'transformation' of current data or just elements not covered by CI.
In regards to go back a Hotfix including DB changes (either content or objects) is basically an small upgrade so I'd keep a DB backup for that. But it all depends on the changes in the hotfix.