After a Newsletter plugin update or after an add-on update your custom Newsletter theme is no more there. Why? Is that a bug or?
Definitively that is not a bug. Every customization made to any plugin (being it changes to files or files/folders added) is removed with an update.
That happens because WordPress deletes completely the plugin folder before start the update process and then replaces the delete folder with the new one from the new package.
This is a correct and well known behavior.
So my themes should be always restored after an update?
No. Your custom Newsletter themes must not be added inside the plugin/add-on folder but in a special folder which is not deleted by WordPress. Newsletter and the Automated add-on scan special folder to find custom themes and they are:
Inside those folders you can add the folder containing your custom theme and it won’t be deleted anymore. How to code custom theme is explained in this documentation page.
Should I keep anyway a copy of my custom theme?
Yes, of course. Keeping only a copy inside the server is dangerous since disasters may happen. Always keep an up-to-date copy of your custom theme in your PC or better use a storage service like Dropbox. Google Drive, One Drive.
This is particularly recommended if you paid someone to develop your custom theme.