The cluster, databricks notebook, and table are all in the cloud. Your local machine is not in the cloud. If you want to read data to your machine you have a few options:

1. There is a download button in databricks notebooks that will let you locally download the data as a csv file
2. You can use whatever storage(S3, ADL2) tool to download the data
3. You can connect to a databricks cluster from your local notebook. DBX may help here

All that said, your best option is to use the Databricks ML Runtime for an ML project. It has mlflow built in and will give you better scaleability than doing things locally. It also has automl which will be a great starting step for data profiling and simple model building.