Second I heard they turned that on for Skyrim....I turned it off....why would they take my saves off my HDD??.
Because they're not. Steam Cloud uploads a
copy of your saves to the cloud, so you can sync settings, saves, etc. across multiple computers or re-installs of the game. Your saves are still present on your HDD; otherwise, could you imagine the lag if you had to wait for data to be uploaded/downloaded every time you tried to save or load your game?

@ the OP - probably has something to do with the fact that Skyrim's sold several million copies on PC, most likely (we don't know actual sales figures), and on top of that there's 40 million Steam users all trying to use Steam Cloud for storage not just for Skyrim, but all the many other games that support that feature. They had to draw a line on storage somewhere, or risk crippling the service.
Anyway. Normally I quite like Steam Cloud--it made getting things up and running after I got a new HDD much, much easier, for instance. But in Skyrim's case, if only because of the size of the saves (so they take forever to upload) and because of the question of what happens in cases where you might be playing mod roulette, I'd advise disabling it for Skyrim only.