You must have opened the app and set up that vault in iCloud previously on that Mac, or cloned the Mac from one where Obsidian had previously set up.
(On first launch on macOS, Obsidian doesn’t know where your vaults are. You have to create or open a vault by selecting the folder you want from a file system picker.)
You should just be able to move the folder from iCloud to wherever you want to put it. Since you’ve already enabled Sync, I don’t think you need to fiddle with that again.
As ever, make backups.