If you have Desktop and Documents turned on and you want something to save to your Mac and not sync to iCloud, save it to any location other than iCloud Drive, Desktop, or Documents. For example, you could open a Finder window, use the Finder "Go" menu and select Home and then create a new folder directly in your Home folder and save data that you don't want synced to that folder.
If you want to turn Desktop and Documents off, you could do that and then still save anything that you want synced to the iCloud Drive folder (Finder "Go" menu iCloud Drive).
To turn Desktop and Documents off, carefully read and follow the directions below 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.
- From your Mac, choose Apple menu > System Preferences. Click Apple ID, then click iCloud. On macOS Mojave or earlier, choose Apple menu > System Preferences, then click iCloud.
- Next to iCloud Drive, click Options.
- Deselect Desktop & Documents Folders.
- Click Done.
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.
