How do I know which folders in my Mac 10.15.7 are not synced to the Cloud?

All folders that are synced to iCloud do have copies on the local drive. That's so they can be accessed even without internet access. In Finder's Sidebar preference pane make sure the iCloud Drive checkbox is checked.

Then you can access the files like this:

The files are in the User/Home/Library/Mobile Documents folder:

Remember, iCloud drive is a syncing feature not an off computer storage facility.

bear3721 wrote:

So far, "Desktop and Documents folders" are ticked with regards to Cloud syncing, but I would like to keep certain folders on the local hard disk.

Is there a way to know what are linked to the cloud and what folders are not? As far as I am aware, when I click Users and my username I see: Downloads, Movies, Pictures, Public, can I add a folder under my username that it will not be synced to the cloud?

Only the iCloud Drive folder is synced to iCloud by default You have chosen Desktop and Documents as well.

Those are the only folders that will sync to iCloud.

Create a new folder in your Home 🏠 folder and put the folders/files that you don't want in iCloud Drive in there.