Microsoft moved my files rather than backed up

[Microsoft Windows]

I just backed up my files for the first time using the Windows Backup tool and they appear to have been deleted from my folders and moved to OneDrive. That's not backing up, that's moving. I didn't want them moved as I had links to files. Is there an easy way to undo Microsoft error? Do I just copy the files back? At the very least, the tool should have advised what was going to happen and allowed a choice. Am I now just stuffed and need to suck it up.

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