Actually, what is happening is listed in the following article:
It's a OneDrive feature that is triggered with the 1809 update, and the Documents folder seems to be checked by default. You can see this by going to Settings in your OneDrive app, and then the tab Auto Save.
Clicking on Update folders will give you the option to protect important folders and if you activate it, the folders will be moved to OneDrive to also enable roaming between devices.