The wording of the warning is misleading. If you turn off this syncing, the files will not be gone or deleted, but they will not be on your ~/Desktop or in your ~/Documents folders. They will be in your "iCloud Drive" folder, which is a folder on your computer that is synced to iCloud, but is still available on your computer. To get things "back to normal" you will just have to move the files from the "iCloud Drive" folder back to the ~/Desktop and ~/Documents folders.
Here is how to clean things up:
First go to Apple menu -> "System Preferences" -> iCloud
In iCloud preferences you should click the "Options" button beside the item "iCloud Drive" and if the "Desktop & Documents Folders" item is selected, then that is probably what is causing you to be using so much space on Apple's computers. If you uncheck this box, you can recover a lot of space from your iCloud storage, but it will take a few more steps for it to be "back to normal":
Go to Apple Menu > System Preferences > iCloud > iCloud Drive and UNcheck the "Desktop & Documents Folders" checkbox. You’ll get a pop-up warning you that these files will only be stored in iCloud Drive if you disable Desktop and Documents syncing. Go ahead and click “Turn Off”. Files on your desktop and in your Documents folder will seem to be removed but they are still within the "iCloud Drive" folder on your computer, which will automatically open after you click “Turn Off”, so these files aren’t actually disappearing and getting deleted, but are simply in iCloud Drive exclusively.
Next, open up the iCloud Drive folder on your Mac and you’ll see two folders called “Desktop” and “Documents”. If you cannot find the "iCloud Drive" folder (it is likely listed in a Finder window's "sidebar" which can be displayed using the Finder menu item "View" -> "Show Sidebar" if the sidebar is hidden), you can have access to it by going to the Finder menu item "Finder" -> "Preferences" -> "Sidebar" and makeing sure the "iCloud Drive" item is checked. Alternatively you can use the Finder menu item "Go" -> "iCloud Drive" to open this folder.
The folder "iCloud Drive" is where your files are. You can now move the contents of "iCloud Drive"/Desktop and "iCloud Drive"/Documents back to your ~/Desktop and your ~/Documents folders.
You can leave the now empty “Desktop” and “Documents” folders in "iCloud Drive". If you delete them, they might get recreated automagically, so don't be surprised.
The following website has some pictures of the windows as well as some of the text I copied above:
Here is another reference about the issues: