How to delete Health data in iCloud only?
Health Syncing in iCloud will not appear in iCloud Backups or in iCloud Drive. It is stored directly in iCloud rather than in iCloud Drive or other sub-service.
If you turn off the Health switch on your phone, then you have disconnected the local Health repository from the cloud. You can safely delete your Cloud health data after doing this.
Health data is stored End-to-End encrypted, unlike backups. The article you linked to refers to iCloud Backups, a different system. When you turn off the Health switch, it will start backing Health up to the non-end-to-end encrypted iCloud Backup. You must also turn off the Health feature in iCloud Backup to avoid this.
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The phrasing on the Mac is different and likely flawed. The same delete button you've shown on the phone makes it clear that you're only deleting it in iCloud, not per-device.