MAC computers are designed so that why they log in they can also connect to a storage space on the Internet. The computer can make copies, etc. of files (such as the music, documents, etc) in the storage space (called iCloud.)
Your Windows computer can do the same thing. It just saves to "Dropbox" instead of "iCloud."
Whatever ID you used to log on does not have an iCloud account, so the MAC can not save to there. It is safe to use the MAC without an iCloud account. IT just means that any music you download, etc., would not be duplicated to an iCloud storage account.