Welcome @MyDev
As noted above, you should never put a DEVONthink database in any cloud-synced location or you could irreparably damage it.
Regarding sync, it is covered in the In & Out > Sync section of the built-in Help and manual but there is also a forum post on syncing: Sync Types Explained. This is a good place to start.
’m still somewhat confused as to why I would want to hold actual physical files in DevonThink as opposed to Finder?
Because it creates a portable, self-contained package that can be backed up and transferred around like a single file. I suggest you read the In & Out > Import & Indexing section of the aformentioned help, not only read but read and understand it as you may think “Oh! So I just want to use indexing.” While indexing files outside a database is a viable option, it is not a course to be taken lightly.