It’s certainly not unusual to want to store your data only on locations over which you have full control—not some company’s cloud, even if that’s Apple. Macworld readers Bob and Barbara migrated off other mail services to iCloud specifically to download messages directly and to avoid poor performance they were perceiving. They thought macOS Mail and iCloud would be a better match.
But they’re in a pickle, because they’re seeing iCloud storage fill up (Bob) or become full (Barbara), and they don’t want the messages there at all. When they log into their mail, they want any email to be moved from the server to their Mac.
Apple’s Mail and most email clients on every platform and from every third party optimize their defaults settings around leaving mail on a server. That’s the modern way, where we can reach the same mail storage on any device, as well as through Web mail.