To put it in layman terms and explain because this is important. When we use any kind of wallet other than a full node implementation, we unpack some tasks to a third party. Web wallets unpack most everything, from control of a private keys to verifying a blockchain.
Even wallets that give users control of a private keys offload certain tasks elsewhere. Lightweight desktop wallets that don’t embody a blockchain will during slightest count on other nodes or servers to endorse that a chain