Desktop and Download folder
If I copy a file to desktop it appears for a while and after disappear. The same happen in the Download folder. How can I solve this problem?
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I'm unsure quite how Dropbox works, though I don't believe synced files would behave like that.
However, the files and folders that you sync with iCloud will disappear from display on your computer desktop. They can be accessed by clicking "iCloud" in the Sidebar of any Finder window. If you sync your Desktop folder, items on your Desktop will seem to disappear, but they should be available in Finder as I stated above.
If you don't see iCloud in the Sidebar, click Finder > Preferences... > Sidebar tab and then click the checkbox next to iCloud drive.
I think that by default your Desktop and Documents folders would be synced into iCloud when you activate it. This can be changed by clicking the Apple menu > System Preferences (or Sys. Settings) > Apple ID.