CreateStudio doesn't let you save your projects directly to cloud-based or cloud-backed-up locations.
WINDOWS
If you are trying to save a project to your Desktop and get the dialogue box above, it means your Desktop is synced with cloud storage.
For Windows:
Right Click on Desktop (folder)> Properties > Location
It will most likely have an address that points to a cloud storage.
Example:
Click the "Restore Default" button > Apply
Once the folder is restored to the default location, you should be able to save projects to your Desktop.
MAC
To disable iCloud syncing with your desktop, click the Apple icon in the top-left corner of the screen and go to “System Preferences” > "Apple ID"
In the “Apps on this Mac using iCloud” list, look for “iCloud Drive” and click the “Options” button.
In the “Documents” tab, uncheck “Desktop & Documents Folders” to disable synchronizing the contents of your Desktop and Documents folders over iCloud.
Select "Turn Off" > Click “Done”.