They are stores in the Photos App on your Mac.
More specifically the PhotosLibrary.photoslibrary file in your user profile.
This is not a user accessible file. All photos are kept in there.
And no, using "Download and Keep originals", does not in any way save iCloud Storage (the above post is entirely wrong). It merely makes it so the full sized and original quality versions are kept on your computer. It affects nothing on iCloud.
If you don't want your photos to be uploaded to iCloud, then turn off the iCloud Photos option in the Photos App under the Photos Menu ➜ Settings ➜ iCloud.

click here ➜ Use iCloud Photos on Mac - Apple Support