This is probably to do with your Windows User Documents folder being on OneDrive (ie MS's cloud servers). That ought to work in general, but it requires OD to be running all the time, to be syncing perfectly, and you to be online all the time.
If you didn't actualy want your documens held on theMS cloud, you can change the Windows settings accordingly. Right click on Documents in the left column of File Explorer, just under This PC there. Go to properties, location - that's where you can change it to point to the old default location