How can I sync a new folder into iCloud?

So basically...

When I take screenshots on my Mac, the screenshots are saved onto the Desktop, which is synced to my iCloud. Later, I move the screenshots to the Pictures folder, and I get a warning saying that the file will be removed from iCloud.

SO....

How can I sync the Pictures folder into iCloud, so I don't get that warning anymore? ...and so the picture stays synced into my iCloud?

Any answers that talk about "creating a folder in iCloud" or anything that's not directly related to "adding a folder into the iCloud sync" will be downvoted.

Thanks