Yes, that is "what they are," and Gmail uses a very peculiar mechanism of their own design for this, but somewhere beneath he fact that a message can have multiple labels applied, and show up in multiple folders as a result, you are correct that there is only one copy.
I haven't played with creating a message with multiple labels and then deleting it under only one of them to see if it remains in the others, which would suggest that there are multiple folders, most of which use symbolic links to access the actual message wherever it is.
I've never had any need to assign multiple labels to a given message, and find it annoying when I do assign a specific one that the "inbox" label is not removed by default. You have to do that in the filter.
Brian - Windows 10 Pro, 64-Bit, Version 2004, Build 19041
A gentleman is one who never hurts anyone's feelings unintentionally.
~ Oscar Wilde