Hi Stefan,
I assume you're talking about DGLux 2.5 (the one based on flash). Unfortunately, the answer is no, it does not backup for you. I've faced that problem a few times, and got more than a little frustrated. My various solutions are:
Is the DGML existent? If so, it may be salvageable! You can find the DGML in the Export item in the menu within DGLux. If you get a really large block of markup on your dashboard that won't render, there is one or more issues somewhere in the DGML. I usually found it via binary search: find the main container and elements and cut out half, import, see if it worked, If not try the other portion, if so replace it and try to halve that section. It's important to make sure you only cut out complete tags and their contents. It's kind of a pain. It'll end up being a malformed property of a tag, like some weird connector string but no actual value (sorry I can't be more specific, I haven't done this in a long while). Or it will all be empty, and you're out of luck. Go ahead and check it on the disk too, if it is empty in DGLux. It may still have all the markup in your Mango/web/modules/dglux/web/dgml (or other directories in dglux/web).
Which brings us to...
Vigilance. Save to your computer (via export in menu, I believe)! Save to server! Save everywhere. Shift + s
I got so aggravated when I was doing lots of DGLux work with this issue that I actually did all my development of new dashboards in a sandbox designed specifically to avoid this stuff. I had a timer element that counted to 300, and triggered a script, which increased a counter X and saved the dashboard (saving the dashboard is a behavior you can trigger) under a name like "autosaveX-dashboardName.dgml" It was irritating to have DGLux freeze for 4 seconds every five minutes, but it saved me three or four headaches over many months, so I accepted it.
It's definitely part of the reason we moved toward our angular dashboards and embracing standard web technologies.