Hello, to activate this feature you must go to Messages / Preferences / Accounts, there you will find the option to Activate Messages in iCloud and a Synchronize Now button.
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Go to Messages.app on macOS, go to Settings, Accounts.. you will find it there.. activate the Checkbox. If you want to sync to iCloud, please press Button there....
just posted, that can help you.. -> https://appleinsider.com/articles/18/06/02/messages-in-icloud-everything-you-need-to-know