How do I remove photos from my phone but keep in cloud
I would like to free up space on my phone, but each time I go to delete any photo it says it will also remove it from all devices and the cloud. Is there a setting to override this?
No.
In order to free up space on your device without also freeing up space on iCloud, you need to copy your content from your phone to a computer.
Import photos and videos from your iPhone, iPad, or iPod touch to your computer - Apple Support
Also, you should read up on what Photo Library does to better understand