Hello, Puntocom -
I run the mysqldump daily. The filesystem backup (at least of the directory tree where XenForo is installed) together with the mysqldump (this holds the user, post, thread, etc. information of your XenForo board) is needed to rebuild the board in case of a crash.
Search indexes are created from the current, existing content of the MySQL server database (i.e. it is redundant information).