This is correct - by default the file content is stored in alf_data directory are so are the Lucene full-text indexes. Only the meta-data describing the content and the attributes and associations are stored in the database. We have found that using the filesystem for what it's best at (storing files) and the database for only storing meta-data about the files is the optimal solution for most implementations. It would be possible to create your own services for Alfresco that store the content in DB blobs if you prefer, as all services in Alfresco are pluggable and can be replaced.
Thanks,
Kevin