Hello
Unfortunately it is either backing up the entire Documents folder or none of it. Right now it doesn't support selective folders inside the Documents folder.
However, you can first right click on the game folder in Documents folder in File Explorer, choose "always keep on this device". Give it some time to download and turn solid green for that folder. Then turn off the entire Documents folder sync by going to OneDrive Settings > Sync & Backup tab > Manage Backup.
Restart the computer - that should return the entire Documents folder into local path.
For anything moving forward you want to sync to OneDrive, manually save them to C:\users\your username\OneDrive\Documents folder instead.