It is important to differentiate between iCloud Drive and iCloud for a start.
If you select the option in iCloud Drive to save your Documents & Desktop to iCloud Drive that is exactly what should happen. If you later decide to turn off iCloud Drive you will receive a warning to the effect that all your data will be lost unless you copy it back to your computer before turning off iCloud Drive.
If you have elected to have your Photos saved to iCloud (NOT DRIVE) that has nothing to do with any actions you take in respect of iCloud Drive.