What happens to Books when I "delete from iCloud"?

Everything that you put in iCloud Drive (including Desktop and Documents, if you chose to move those to iCloud) is copied to iCloud.com. That's the whole point of iCloud Drive. If you decide that you have something in your iCloud Drive that you'd rather not have at iCloud.com, then drag it from iCloud Drive to another folder on your Mac that isn't in iCloud Drive.

You can use your Public folder or your Movies folder, or you can make a new Books folder that's in your User's account, like this:

You should see that dragging a file out of your iCloud Drive folder makes it disappear from there, just like it would dragging from any other folder on you Mac.

Does this work for you?

See this:

Understanding iCloud Drive - Apple Community

XP45 wrote: There is no Books folder on my iCloud drive.

Nor on mine. Note the path that I circled that indicates the actual location of the Books folder.

I showed you my User folder (rtaylor) with a Books folder that I created there. If I wanted books that I found on my iCloud Drive to not be there, I'd drag them from their location on iCloud Drive to the Books folder that I created in my User folder. Note the path that I circled that indicates the actual location of the Books folder.

XP45 wrote: … [Books in Books app] are not deleted from my Mac, and I can continue to manually sync them to my phone.

Good to know! Since you said "Books" I thought you meant mean like the many ebooks that I have in pdf format in folders on my Mac-- I did not understand that you meant in the Books App. So many ways to get confused!