That cloud means the files are sitting in iCloud Drive and haven't been downloaded to this Mac yet, so there's nothing on the Mac to open.
Make sure you're online, then right-click (or Control-click) one of the files and choose Download Now. When the cloud goes away it'll open like it used to. You can select a bunch of them and do it in one go. If you want them to stay on the Mac for good, the same menu has Keep Downloaded.
As for what changed: most likely "Desktop & Documents Folders" got switched on. It's in System Settings > your name > iCloud > Drive. I'd download everything before touching that switch. If you turn it off, the files stay in iCloud Drive and the Mac gets a new empty Desktop folder, which looks alarming even though nothing is lost.
Do you see Download Now when you right-click?
— Dmitry · developer of ComfortFiles