Those settings only reflect the things you have the option not to include in the backup, not everthing that is backed up. This article explains what is backed up: http://support.apple.com/kb/HT4859. You will not that is says, in part:
You get 5GB of free iCloud storage for:
- Photos and videos in the Camera Roll
- Device settings (for example: Phone Favorites, Wallpaper, and Mail, Contacts, Calendar accounts)
- App data
- Home screen and app organization
- Messages (iMessage, SMS, and MMS)
- Visual Voicemails
Messages are included in the backup, they just don't appear in the setting you are looking at because you don't have the option to not include them in the backup.
Only as part of the overall iPhone backup. They can't be accessess separately; they would only be available if you restore you phone to the backup, including all the other data and settings contained in the backup. If you want to save your message conversations separately, you'll either have to take screenshots and email them to yourself, or use 3rd party software such as Touch Copy (pc or mac) or PhoneView mac).