Most desktop folders have clouds next to them, some don't, why?

The cloud symbol indicates that the file, or a file in a folder, is on iCloud but has been withdrawn from your Mac to save space. It is downloadable at any time.

Optimise storage space on your Mac shows a panel from About this Mac > Storage > Manage where this can be inspected.

Files and folders both with a cloud symbol and without a cloud symbol are being synchronised between your Mac and iCloud.

"Backed up to iCloud" is perhaps a misleading model of the sync because the purpose of iCloud is to unify the contents across all your devices. If you remove a file from one device it will be removed from all devices, including iCloud.

It is important too that you also use an external disc and Time Machine software to back up your Mac's contents. See Back up your Mac with Time Machine.