Pro – storing your Sims 4 data on a physical external drive you can take anywhere with you.
To store your Sims 4 folder, or the entire Electronic Arts folder if you wish, externally you need to create a symbolic link (symlink) on your Mac to store the folders and files on an external device. Here is a great article explaining how it works in more depth.
There is no way round this unless you free up more space on your Mac or store the data externally.
Up until that point your Mac has been keeping the files locally as well as in the cloud which is why your game is happily loading all your saved games. If you have been using iCloud Drive to store your Documents folder in the cloud but suddenly the game starts creating new games, this is because your internal storage is very full. If the game cannot locate a Sims 4 folder in that location it will create a new one, resulting in a brand new, clean game when you launch it. The Sims 4 folder contains your saves, tray files (your in-game library), all CC/Mods if you use them, screenshots taken in-game using C, recorded videos, your in-game graphics options, plus a few other files and folders that make your game unique to you.