By default, the built-in Windows 8 email client only downloads messages from the last two weeks when you set it up. That can be very useful -- do you really want to download your entire Gmail archive and destroy your bandwidth allocation? -- but it is possible to change if you want a more comprehensive local backup.
To change this within Mail, access its settings using the Settings charm (Windows key plus I). Choose Accounts and pick the relevant account. Under 'Download content from', you can pick the last 3 days, the last 7 days, 2 weeks, the last month or any time (which will download everything). If you want to shrink storage further, switch off the 'Automatically download external images option'.
[via Building Windows 8]