How to unsync an iCloud folder without losing the original source
Source:

iCloud is a syncing solution, unlike Dropbox which is more for backup/storage.  This is why it's different than you'd expect to turn this off.  Follow all the steps you've already taken until you get that warning message you indicated in your question. 

On that message box, click Turn Off.  All your documents will still be available in iCloud but they will be removed from your Mac.

Getting All Files from iCloud Desktop &amp; Documents Back from iCloud to the Local Mac


Open the Finder in MacOS and go to “iCloud Drive” (navigate via Finder or select “iCloud Drive” from the ‘Go’ menu)
Locate the “Documents” folder in iCloud Drive
Open another new Finder window and navigate to the local “Documents” folder
Select every file from the iCloud Drive Documents folder and manually transfer it to your Mac local Documents folder with drag &amp; drop
Repeat the same process with “Desktop” on iCloud to get all contents from “Desktop” on iCloud to “Desktop” on the local Mac



You can either copy or just move the files from iCloud Drive, that is up to you.