1) if you don't want your entire Documents and Desktop folders to be synced to iCloud Drive, uncheck the Desktop & Documents Folders setting in iCloud (System Preferences > Apple ID > iCloud Drive > Options). If you DO want all that stuff synced to iCloud, leave that setting on, of course.
2) If you just want to exclude some things from being synced, put them in a folder and add ".nosync" to the end of the name of the folder.
3) You can turn iCloud (or any of its features) on or off on one device and it shouldn't affect the others. They sync separately.