As FoxFifth suggests, If you have "Optimize Storage" turned on, then iCloud will keep lesser used files at iCloud.com, and the local drive will have links to those-- all to save storage space. That's what Optimize is for.
If you turn off "Optimize," though, then the files won't just suddenly and automatically pop onto your drive. You may have to manipulate the system a bit. If you select files and drag them to another folder on you Mac, for instance, the files will be forced to download. Then you can drag them back if you like, and they will stay.
But then the question is-- why are you using iCloud? The purpose of iCloud is to share your files among all your devices. iCloud keeps iCloud Drive the same on all the connected Macs, iPhones, and iPads. It also allows you to save storage space on the devices. There's not much else it does. If that's what you want, then iCloud is ideal.
But iCloud Drive is a synchronization service. iCloud Drive is NOT a backup service. If you accidentally delete a file on your Mac's iCloud Drive folder, then it will be deleted everywhere, and immediately! If you spell a client's name wrong, it will be misspelled everywhere.
If you're after a backup, then you need copies that are not synchronized. I carry a small (1 oz) SSD and use Time Machine for backup. If all you want is a backup, then iCloud Drive is not for you.
See this:
Understanding iCloud Drive - Apple Community
