Moving my Desktop from iCloud back to my MacBook

This question was asked before.....I'm linking it here......https://discussions.apple.com/thread/8432581?answerId=33537613022#33537613022

But that was back in 2018.

When I went to the settings and deselected the option to sync my desktop, this is the message I got (attached image). So I'm wondering does the system NOT leave the files on my desktop? How do I do this??

I need to upload files that are in my iCloud, that aren't uploading.....I'm assuming because they're not "local" on my desktop.

I really wish these things are explained better (in plain english for normal people) before we choose the options that will hinder our ability to get tasks done! Grr!!