Unfortunately, there is currently no way to save PDF files directly to your local computer on a Mac. You'll need to save the files to the Personal Share (P:) or Company Share (S:) drives on the cloud server first. You can then either save them from the PDF Viewer that opens after the file is created, or use the File Explorer in Remote Desktop to copy them to your local drive.
Saving from the PDF viewer:
After choosing the location on the P: or S: drive, the PDF should open as a preview in the built-in default viewer (e.g. SumatraPDF or Adobe Acrobat Reader). To save it to your local drive from that window you can go to the File menu and choose Save As. Look under This PC or HostedComputer for your local drive. Typically it will be named something similar to YourName on YourName's Mac. Choose the folder you want so save the file in, change the name if you wish, and then press Save.
Copying the files with the File Explorer in Remote Desktop:
You can also use the File Explorer in Remote Desktop to copy the files from the cloud computer to your local computer. Open the Personal Share (P:) or Company Share (S:) drive where you saved your files. Highlight the files you want and go to the Home tab and choose Copy (or Cut if you wish to move them). Then go to your local drive under This PC or HostedComputer. Typically it will be named something like YourName on YourName's Mac. Choose the folder you want so save the files in and go to the Home tab and choose the Paste button.