Local Desktop Gone

If you don't want Desktop & Documents in iCloud Drive, then disable it in the iCloud System Preferences.

Once you disable it, you will then need to move your files from iCloud Drive into your Desktop and Documents folders.

Whether you disable it or not, your files are still stored on your Mac. They are not moved to iCloud, they are synchronized to iCloud such that you can access them from anywhere you can log into iCloud.

They aren't even actually moved from your home folder. Finder just makes it look that way.

If you decide to disable, the files still aren't removed from your Mac. It may look like it, but they are not. It's all file system magic.

Don't get confused by Local and iCloud Desktop. If your iCloud is enabled then it completely backup your Desktop.

If there are some files which are missing then probably they are not backed up on iCloud and that's why they are gone.