keep files on computer with iCloud Drive

I have my Desktop and Documents folder shared with the iCloud.

Now, some files get uploaded and the folder gets an icon with a cloud with a download arrow in it. Then I can right-click and choose 'Download now'.

Can I somewhere change these settings? I would like some folders to sync with the iCloud, but the files should always be available on my disk as well.

The case is that I'm working a lot with linked files. And when these files are in the cloud, my Mother file cannot find these linked subfiles anymore...

Thanks for all advise in advance!