How Do I Ensure That All My Files Are Downloaded On My Mac When Also Using iCloud?

On a recent Mac Power Users podcast, they said when using iCloud to store your files, you should right click on a folder and select “Download All” to ensure that the files in folder are all downloaded to the Mac as well as also being in iCloud. But when I right click on any folder I do not get this option. And my understanding of iCloud is that the full files would always be on my Mac and iCloud just syncs them. Can you please clarify? I want to ensure that my files all exist fully on my Mac so that may back up capture them as well.
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David