All the folders on my MacBook Pro just disappeared without warning

Go to the Finder/Sidebar preference pane and see if iCloud Drive is checked.

If not check it. Next open a new Finder window, click on iCloud Drive in the Sidebar and see if there's a Documents and Desktop folder shown. See if your missing folders are in them.

NOTE: sometimes during an update the iCloud Drive gets enabled along with the Documents and Desktop folders to be on it.

I am sorry to tell you that iCloud is not a backup app. It was created by Apple to provide for cross platform sharing. It mirrors what you have on your computer. Backup is done by the Time Machine app or another such as Carbon Copy cloner to an external device.

The next step is to try restarting in the Safe Mode and see if they are restored. If they are , then I strongly recommend that you immediately get an external disk and do an immediate backup. Otherwise, critical data can be forever lost.

It is important to know what, if anything, was done prior to this happening. Do you have your files backed up? if so, restoration is possible.

Restart the computer and hold down the Shift key. Please be patient as this startup process can take up to ten minutes while the computer's operating system is doing repairs and cleaning its caches.