If I use iCloud, will my databases be saved in iCloud only?
No, if you save a database in iCloud it is also saved locally on your device. If you sync a database via iCloud, all changes will be synchronized with the devices attached to your iCloud account. On the MacFamilyTree startup menu you can either remove a synced database from iCloud or remove it from all devices.
How to remove the database from iCloud, without deleting the local copy
If you uncheck the checkbox “Save in iCloud” in the start menu, the database will be removed from iCloud and from all devices attached to your iCloud account, except the device where the database is currently opened.