The iCloud Drive folder is a folder on your Mac. Just like any folders, if you drag a file from the Movies folder to the iCloud folder, it will no longer be in the Movies folder. But it's still on the Mac, in the Mac's iCloud Drive.
If you have "Optimize Storage" turned on, then to save space the Mac may remove some files from your local iCloud drive, and then retrieve them when needed. Do you have "Optimize Storage" turned on?
In "Finder>View>Show View Options" you can turn on iCloud Status so that you can see what the files are doing. Here is a portion of my iCloud Drive folder:

"Downloaded" means the file (or folder) exists on both my Mac and at iCloud. "Ignored" means Photos Libraries shouldn't be kept in iCloud Drive. "In iCloud" means that I have designated this file to be removed from the Mac until I call for it. "Kept Downloaded" means this is at iCloud, and I have designated this album to never be removed from my local folder.
You can change the status by right clicking on a file:
"Keep Downloaded" doesn't really change anything if you don't have "Optimize" chosen.
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