I recommend to make a backup copy of your Photos Library before you turn on iCloud Photos.
The folders and albums are supposed to stay, when you enable iCloud Photos, the standard albums as well as the smart albums, but better be safe than sorry.
I had it happen with the very first versions of Photos (OS X 10.11 El Capitan) that my albums vanished, when I turned on iCloud Photos and the albums came only back months later, when I had them already recreated. But that has been many years ago, and only, when I have been syncing several devices with different system versions (iPad, Mac, iPhone) at the same time with iCloud Photos. It has been a bug and not the intended behaviour.