Well, again, nothing actually moves, but it looks like it does. Right now, your Desktop and Documents folders are in iCloud Drive, not in your Home (they actually are, but it doesn't show you that). When you uncheck the box, empty Desktop and Documents folders will appear in your Home folder and not under iCloud Drive. The files will remain in the iCloud Drive in the Desktop and Documents folders that exist there.
What you will see during this process:
1) A warning that your files will only be on iCloud Drive.
2) Empty Desktop and Documents folders will reappear in your Home folder.
3) A warning when you move the files from the iCloud Drive Desktop and Documents folders to your home folder Desktop and Documents.
4) You may see the iCloud Sync pie next to those folders in the SideBar as it "moves" the files from iCloud Drive back into your Desktop and Documents folders.
Again, all of this happens by creating hard links in the new locations and removing the links in the old location. It does take some time to create and remove the hard links, but it won't be downloading the files from the cloud unless those files only existed on the cloud. That could happen if you had Optimize Storage selected and it moved large, unused files to iCloud Drive.
Those may take a while to actually download from iCloud Drive.
While it looks like your files are deleted from your Mac, then must be downloaded from the cloud, that is not actually happening except in a few cases if you have Optimize Storage selected and you are low on disk space.