The way Steem accounts are slightly different than most other blockchains. BTC/LTC/etc all generate new addresses whenever you generate new wallets, but with Vessel, it's just using your existing account. There's no moving of funds into the wallet itself since it just has access to your account now (much like steemit.com would if you put in your active key).
As long as you have a copy of your keys elsewhere, your funds/account are safe and recoverable.
Oh, so it’s just the UI that’s visible from the desktop securely and not everything being off-loaded onto the local PC. That’s a relief.