macOS Sierra moved my DEVONthink databases to iCloud Drive

I think that the answer to this is because you enabled Sierra’s optimise storage feature.

You may wish to read this thread for some information on the effect of Sierra’s new iCloud storage optimization feature on DT databases, and for the new advice regarding the recommended location for databases:

Interesting article here also on the potential problems created by the feature:
9to5mac.com/2016/10/27/opinion- … nightmare/