How do I set a folder up to sync to icloud but also stay on hard drive

Hi. I have a folder in Documents that is synced to iCloud. I have Power BI projects in it that use Parallels for Power BI. While I'm working on a report the folder seems to repeatedly sync to iCloud and become unavailable on my local drive. When Power BI goes to look for data files, they aren't there and it does not have access to iCloud. And it also saves as a copy any time I save and the original file isn't local. (image 1)

Maybe it's something I can set up, but regardless, how to I get files to be in both places? Interestingly, some of the files in Documents don't seem to get the little cloud next to them. You can see in the image that some files only seem to be local... (image 2)

Also, what is the difference between the dotted line cloud and the download cloud, or what is the dotted line cloud for? (image 2)

Image 1, multiple copies

Image 2, the problem and dotted clouds

Thanks for your help.