I first installed Mist, which downloaded 23GB of blockchain data, and the deleted all the blockchain data and mist-related files.
Then, I installed the parity on my windows 10 machine. Within a 10 min, parity shows that chain data is synced. However, I cannot find any chain data on my PC. The remaining storage has not been changed. I cannot find the folders mentioned in this answer: Location of parity blockchain in Windows
I could send and receive ETH with parity. So, I guess the parity client does not download any chain data.
I was wondering whether my guess is correct or not. If it is getting the blockchain from the web, would it be safer option than the Mist?