This means that your Documents folder will stay localised on your Mac and not be pushed to the cloud.
You can get round this by freeing up space on your Mac so it starts storing the files locally again: So every time your game loads it is recreating a brand new Sims 4 user data folder because it cannot find the original. If you have Optimise Mac Storage enabled in the System Preferences > iCloud settings, iCloud will store your Documents folder in the cloud where your game will not look for it when your internal storage starts filling up. Even though your Documents folder is being stored in the cloud, your Mac is also storing a copy locally so your game will keep loading your saves.
Is the game like new again every time you start it up and all your previous progress is gone? If so then iCloud has been set to move your Documents and Desktop folders to iCloud. If you are running macOS Sierra 10.12 or later and have iCloud Drive enabled then you may be having an issue with your saves.