The composite locator you are going to publish will be copied to the server.
Do nothing. The composite locator must be copied to the server.
If the participating locators are stored in a folder that is registered as the data store, only the composite locator, not the participating locators, will be copied to the server.
To learn more about managing service data in a server, see Copying data to the server automatically when publishing and Making your data accessible to ArcGIS Server.