if that website's server goes down or if it were shut down by the government, all the "artwork" goes away too.
You're supposed to download any art you purchase. You shouldn't leave your products on third parties. The whole NFT thing works as long as there's at least one NFT marketplace. An analogy with bitcoin is to always have at least one centralized exchange.
NFT is proof that you're legitimate owner of the object, although it has no legal power and many people don't care about it.
Doesn't this apply with bitcoin too? It doesn't have a legal power, but people care about it a lot, because it seems useful to them. I can't think of one serious real-world utility of the NFTs, but I can acknowledge the demand of some people to own an object digitally.