When I go to uncheck that option on iCloud it gives me a message that all of my documents and desktop information will be removed from my computer!!!, but remain on iCloud!!! WTF!!! Has Apple lost their mind. I just want my documents on my computer and not in the cloud.
This is a toggle that you agreed to when you first set up Sierra. I think it was Sierra anyways, might've been High Sierra. "Store Documents and Desktop in iCloud" is an option. You said yes to it.
As to why anybody wants it, I personally do want it and have it turned on. Anything I put on the desktop or in the Documents folder, is easily accessible across all my Macs and iOS devices without thinking about it. Quite nice really.
I can find all of my files on finder . . . I just noticed that under iCloud there are three folders iCloud Drive, Desktop and Documents. I don't want my desktop or documents stored in the cloud. How do I stop this? And make Documents store on my computer? Why would anyone want their documents stored in the cloud automatically? This is insane and enough to make me give up on Apple.
That's to protect the data accessibility on other devices. Right now your data is hooked up to iCloud. If you switch that toggle, it switches it off for that computer, but if other devices want that feature on, they shouldn't lose access to the data - it's logical and intended behaviour. Flip the switch and then navigate to iCloud Drive in Finder, and just manually move the data from Documents and Desktop (iCloud), to your now empty Documents and Desktop (local)