If you prefer local storage, don't worry: you can get back the traditional way of creating documents, in which they're not saved to the cloud until you choose. In Word for Windows, click File > More > ...

Microsoft 365 Insiders are testing a change in Word for Windows. Instead of saving new documents to your computer, Word will now save them to OneDrive by default.

Microsoft says that Word for Windows will soon enable autosave and automatically save all new documents to the cloud by default.