Yep, as HelpSpot stands right now (and has going back since it's early days), that's part of the upgrade process. That's something we hope to improve in the future however, definitely on our radar.
You can adjust there attachments are saved to however, so if you change that to not save to the data directory, you can pretty much stop caring about saving the data directory.
The custom_templates directory (the next most often used plae to add customizations) right now need to be backed up.
Keep in mind this is only if you actually have made customizations that result in new files on the server. 99% of settings are just saved to the database.
Search quality is a lot better with SphinxSearch but you can certainly get away without it!