Retaining files on hard drive when using iCloud backup

there is no iCloud backup for Macs, all Mac iCloud services are syncing services, not backup services so every change you make on any device (addition, deletion or edit) is made on all devices - the only iCloud back up service is iCloud backup for IOS

If you use iCloud Drive here is an iCloud drive folder on your Mac in the finder which mirrors the content of iCloud drive on iCloud and other devices

iCloud Drive FAQ - Apple Support

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Go to Finder and select your user/home folder. With that Finder window as the front window, either select Finder/View/Show View options or go command - J. When the View options opens, check ’Show Library Folder’. That should make your user library folder visible in your user/home folder. Select Library/Mobile Documents. Are you files there?