You are correct. Any content created on someone else's site isn't yours - Youtube, Facebook, HN, etc. Even Gmail. We are making a tradeoff for reach, access, performance, etc.
>>bdcrav+(OP)
This just isn't true. The content is legally yours, Reddit only has a license to it so they can display it on their site. Just like a record label though, Reddit has economies of scale and can do more with your content than you can, creating a power imbalance.