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I can put any files onto the desktop on my 2015 MacBook 12" retina, and they stay as how I want them to be.
Now, I got this MacBook Air 13". Everything I put on the desktop automatically saved into iClouds. The desktop now does not mean to be put on anything by the user!!!!
MacBook Air 13", macOS 10.15
It sounds like you have the Desktop & Documents option of iCloud Drive turned on. If you do not want that, see the following from Add your Desktop and Documents files to iCloud Drive - Apple Support
Turn off Desktop and Documents
When you turn off Desktop & Documents Folders, your files stay in iCloud Drive and a new Desktop and Documents folder is created on your Mac in the home folder. You can move files from iCloud Drive to your Mac as you need them, or select all of your files and drag them to the place you want to keep them.
If you turn off iCloud Drive or sign out of iCloud, you have the option to keep a local copy of your files that are in iCloud Drive. Whether you decide to keep a local copy or not, a new Desktop and Documents folder is created in your home folder. If you choose to keep a local copy, your files in iCloud Drive are copied to a folder called iCloud Drive (Archive) in your home folder. Then you have the option to move any files that were in your iCloud Desktop and Documents, back to your new local Desktop and Documents.
Why are files moved to iClouds automatically?
