It's bad design. It's not anticipating the result of the way they've implemented iCloud and the crazy, unintuitive way that you set up iCloud in System Preferences: Instead of taking you through a well-explained set of questions, the answers to which give you the results you expect (something like Mail) - Apple designers have gone for a spartan and elegant look, and dire and ambiguous warnings. It's like a bad, little time-wasting puzzle.
The iCloud Preference Pane should have been thoroughly tested. But the Apple designers knew what they meant. and feeling assured that the keeners in the Mac Communities will eventually figurre out a fix, post it somewhere, and you'll be able Google it and fix it yourself, they just left it like that.
It's the evolution of Apple culture.
(and yes I have the same problem, and no, I haven't found the fix yet.)