Prevent iCloud Drive from removing specific folders
As of macOS Sierra 10.12.4, it is not possible to flag individual folders to stay on your local drive at all times. This is an all-or-nothing toggle.

You may access it under  → System Preferences → iCloud → iCloud Drive Options… There, uncheck Optimize Mac Storage.

This will prevent your files/folders backed by iCloud from being purged automatically from the local storage.