Hello,
SharePoint store all it's content in the content database in SQL.
Then you can access the files also with webfolders which makes it look like the files are physically stored as "normal" files.
No, SharePoint adminstrators should not be able to access other users mailboxes (but that ofcourse depends on the setup and user-rights. If you have an Exchange admin that can access users mailboxes in Exchange and then you add that account to sharepoint it might be possible)
Regards,
Thomas