Use the Option key to copy to a folder that is on your Mac all the
contents. The left sidebar indicates which folders are on your Mac, and
on your iCloud. Use the drop down triangle next to iCloud to see more
clearly what those are. Once your files are all clearly on your Mac, take the reverse steps in the directions below to remove the Desktop folder from your iCloud
Add your Desktop and Documents files to iCloud Drive - Apple Support
The only reason you would want the Desktop folder on iCloud is if you have the bandwidth upstream for all those files, and you wanted to share it with another iCloud capable device like the iPhone or iPad, or another Mac.
Dedicating a folder for iCloud sharing is a better idea, because then you have full control of your files.
OneDrive can do the same functionality too.
Files you want to regularly backup to the cloud copy to the folder being synchronized to the cloud while keeping a separate folder on your Mac. If your Mac does not have enough space for all your documents, then you'll want to invest in an external hard drive or flash drives for additional documents. But that's the principle of backing up. You should always keep at least two copies of all your data at all times on two separate medium.