DEVONthink uses files in the local database or in the local filesystem, meaning that the files always “live” on your computer in the expected location which can be checked v.a. Data > Show In Finder.
However, in case of indexed cloud folders it’s up to the cloud app to synchronize the files between computers to avoid race conditions (e.g. unnecessary duplicates) on the Mac.
Finally, if DEVONthink To Go is used, then the sync store’s Synchronize contents of indexed items should remain enabled.