That is one warning that's not very clear (nor exactly helpful).
Anything that is stored in iCloud (Apple's servers) never actually is on your device. Your device just has a symbolic link to it. If you log out of iCloud, the file/s will still stay on Apple's servers (iCloud) but you obviously won't be able to access them because you're not signed in. So it will appear on your device (or any other device that uses your Apple ID) that the file had been "deleted". But it's not. Once you log back in- the files will still be there and you'll see them again on the other devices.