Why are messages taking up space on my Mac when I'm using iCloud for messages?

Messages is a service across all your devices and unified by iCloud. You need to have a copy of your messages on your Mac if it it going to use the service.

Use Messages in iCloud - Apple Support

When you turn on Messages in iCloud, your message history is updated automatically on all of your devices. That way, you always have the same view everywhere you use iMessage. When you delete a message, photo, or conversation on one device, it’s removed from all of your devices.