‘Sync’ generally means you want changes at either end to be replicated at the other. So, yes, deleting files at either end will cause the file to be deleted at the other (although they may, as Bennor points out, be moved to a hidden directory).
A ‘mirror’ backup is one way; from master to backup. If you delete a file in the master, the deletion will be mirrored in the backup. Delete a file in the backup, and mirror will restore it from the master.
If you want to be able to backup files to the MyCloud, but then delete them from your PC, you want a simple copoy backup, that does not replicate source deletioins. Or simply move the files across. But bear in mind that if you move files, or copy and then delete the original, your MyCloud becomes the primary data file, and you have no backup.
I think you need to think about how you want to store data, and where, and how to back it up. I wouldn’t like to rely on WD Sync to save deleted files, if what I actually wanted to do was move them.
I used to run an xcopy-based script to save changes, without deleting files from the backup. I now use a combination of manual two-way sync and mirror backup, run at my choosing, rather than doing real-time sync. I am still responsible for ensuring I don’t delete files I want to keep…