Documents Folder Disappeared Off Mac

Downloaded some fairly large PDF files a few nights ago for work and my Documents folder on my Mac was suddenly no longer available in Finder. Went online for a solution and accidentally clicked on syncing my documents and desktop folder with iCloud, and then got the scary message that unclicking this would result in loss of information. (Probably didn't read that right but when one is panicking the details are inconsequential!)

All of my files are confidential due to the nature of my work, so not thrilled they're sitting on someone else's storage. How can I get these back? I went into iCloud and there is no option to download these back to my computer. I also tried to create a new Documents folder on my Mac so I could do a good old fashioned copy and paste but I'm not sure where to do this.

I see from other posts this has been an issue for a while but I didn't see any recent posts for others having the same issue so concerned doing what has been suggested before will make the situation worse. I have a Time Capsule backup if it comes to that.