Thanks for your replies. I started with this system of just keeping it on my Mac many years ago before iCloud was a thing and have just kept doing it that way. I am probably going to move all of these folders to iCloud instead, but Is there a downside to doing this?
Not really. Unless you switch to Outlook as your mail client. As Outlook is incredibly slow with IMAP. If you have folders being synced with a lot of email. I haven't experienced any performance issues with (Mac) Mail or Thunderbird. Outlook is just horrible. It's designed for Exchange, IMAP is an afterthought.
The only reason I can think of to not do it. Is if you have so many saved emails. That you'll have to pay for extra storage space online for them. But it is extremely rare for me to come across someone with more than several GB of email.
As some people have difficulty with the concept. When you store your email online. If you move or delete a message on one device. Those changes happen everywhere. The number of times I've gotten panicked calls from people with email disappearing from their computer. Because they were deleting them from their phone is absurd.