Hi,
In your case, if you have OneDrive set up on your PC, Windows changes the default folders to be inside the OneDrive folder; they remain local but are synced.
You can change the Documents folder (and other default folders) so they aren't saved inside OneDrive.
Go to Windows Explorer > right-click on the Documents library folder > Properties > go to the Location tab > select "Restore Default," and it will revert to C:\Users\<your username>\Documents instead of OneDrive\Documents.
However, even when saving inside the OneDrive folder, the files will still exist locally on your PC.
Yes, you would need to change the location setting to C:\Users\<your username>\Documents.
Could you clarify whether you want your documents outside of OneDrive, or if you want to change the default folder locations to somewhere other than OneDrive?
Thanks.