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What you mean by "downloaded"? In the finder, iCloud, you select a folder and a file, such as Document/MyFile. Since it is a one to one mapping, you find MyFile in your Documents folder. Confess I am not sure as to when a file exists only in iCloud (to be downloaded) or on the local file system disk but since it is transparent not sure it matters. As far as I have been able to tell the files always exist on my local filesystem.
 
I think this is not really OP's request, but I tried to use a symbolic link to relocate some portion of documents on iCloud drive to an alternate location. I couldn't get it to work. Since I tested it, I just thought I'd report my results.

If you keep your Documents and Desktop on iCloud Drive, then ~/Library/Mobile Documents/com~apple~CloudDocs will have two symbolic links to your real ~/Documents and ~/Desktop. I created a new symbolic link there to another folder (the intention would be to link to a folder on an external drive). The symbolic link showed up on another Mac, but the contents did not synchronize. Also, the iCloud website did not show that directory.

I really didn't expect it to work.
 
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