The Default File Location option in missing in Preferences > File Handling
Whenever we install Illustrator anew and try to save a document for the first time, we are given a choice — to save into Cloud or save locally. The default choices is Cloud and 'Don’t show again is checked) — Adobe actively wants users to use their system, I get it. However, if one makes a mistake and wants to alter this choice later — they can’t do it anymore.
At some point we had this option exposed in Preferences > File Handling, but later it started to randomly disappear for users, with the same build used. The support can offer nothing but to reset Preferences, but it never helps to make it appear back. The blank spot is there, but the option is gone.
We, however, can toggle it with a script, with a single line:
app.preferences.setBooleanPreference ("AdobeSaveAsCloudDocumentPreference",false);
or go to the 'Adobe Illustrator Prefs' file and set this key to zero:
/AdobeSaveAsCloudDocumentPreference 0
So the option exists, it just doesn’t get exposed.
I personally think it’s a trap. I think Adobe lures users to use the Cloud. I think this perfectly fits the 'Adobe uses shady practices' and whatever the team can say in response (except for 'It is now fixed' with the users proving it is) I will treat as fueling these practices.
Here’s a discussion at forums about this:
https://community.adobe.com/t5/illustrator-discussions/turning-off-save-to-cloud-as-default/td-p/13076982

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Ton commented
I absolutely agree. Saving your files in a location that does not get included in a backup when you backup your machine is dangerous. Especially when you sometimes can get the message that you are not allowed to open the file (you just created) and have to contact the owner (yourself). Files saved in the cloud are hard to download, sometimes only one and in other places a maximum of 10 at the same time. Adobe had a good system with creative cloud files, you saved them locally and they got versioned and synced to the cloud and you decided to save them or not. You had total control over your own files. So not having the option to set your default file location is wrong.