I'm guessing that the feature in question is Desktop & Documents syncing via iCloud Drive.
Add your Desktop and Documents files to iCloud Drive - Apple Support
Read the "Turn off Desktop and Documents section" – including the section about "What happens when you turn off Desktop and Documents" – before proceeding.
Assuming that you're not turning off iCloud or iCloud Drive entirely – just this particular function – it sounds as if your files will stay in iCloud Drive. Then you can decide what to do about copying them or moving them back to one, or both, local drives (if that is what you want).