Following an upgrade, recent versions of macOS may prompt a user to setup iCloud Drive. Files that are migrated to iCloud Drive can be accessed from other Macs, iOS devices, or iCloud.com. While some may find this service beneficial, others might inadvertently migrate their Desktop and Documents folder to iCloud Drive causing confusion and "lost" files. In the screenshot below, during setup assistant, leaving the check box ticked is what forces the Desktop and Documents folders to be moved to iCloud Drive.
Disable iCloud Desktop & Documents:
5. Once this feature is turned off, you will the following dialog letting you know where to find your now "lost" documents and desktop files.
Retrieve the Desktop and Documents folders: