iCloud & iCloud Photos · iCloud and external drives
Why don't Storage Studio's rules move files that are in iCloud Drive?
Short answer: Moving iCloud files to another drive would look like a deletion to iCloud's sync, so Storage Studio's rules skip iCloud Drive (and synced Desktop & Documents). Use online-only for iCloud files instead.
On purpose. Files inside iCloud Drive belong to iCloud's sync, and moving them to another drive with a shortcut left behind would make iCloud see them as deleted or changed — which can remove them from your other devices or start a flood of re-syncing. So Storage Studio's rules skip anything in iCloud Drive, in other cloud folders, and in Desktop and Documents when those are synced to iCloud.
For iCloud the right tool is online-only: tap Run Tuhi, whose cloud step frees large downloaded files, or right-click a folder in Finder and choose Remove Download.
If a folder doesn't need to sync, you can move it out of iCloud Drive first, then relocate it to your fast drive with Data Parking.