I see now, many thanks.
As it is a setting you select by selecting a particular file, it looked like a per-file iCloud setting; but switching the item in one seems to change the setting for all files in the folder, so it must be a folder setting.
Interestingly, the problematic folders were actually turned off… A parent folder had this iCloud setting on, and didn’t have any problems with it.
I have turned on for the problematic folders (as at this moment they were there -they still disappear after some time). But turning it on, made all the other files in the folder and subfolders disappear again immediately.
More “interestingly”, I have closed Marginnote and reopened it… went to this folder again, and the files were there again… and this iCloud setting was switched off!
In any case, if iCloud was turned off (both as you said and in the setting in my first pic), how can iCloud be the cause of this problem?
If iCloud is still the cause, this way of switching it off is not working either, as the files keep disappearing (and appearing intermittently) when it is off.
I guess we have to clarify this first, in order to solve my ultimate problem of files disappearing…