I'll assume this is about iCloudDrive for Windows (you don't mention that explicitly in your question). If that's the case,
follow these steps:
- Disable iCloud Drive from the Control Panel (please really do this, otherwise it will mess things up)
- Move (not copy) your iCloudDrive directory
C:\Users\<username>\iCloudDrive
to the new location. - Open a command prompt and type:
mklink /J "C:\Users\<username>\iCloudDrive" "<new destination>"
This creates a junction (sort of a shortcut, but more powerfull) from the old location to the new location. - Reboot your computer and everything should be fine
And, Apple still leave this software on Microsoft Store. Many and many people download it, install it, and finally find this shit not working, and then uninstall it.