I set up new computers all the time and can confirm that it's there on all Windows 10 installs. I also can't describe it perfectly, but the first time during setup that you see a screen talking about your MS account, there's text on the lower left that'll give you what you're looking for. Then in true MS fashion you have to confirm it on the next screen.

There are no downsides to a local account, IMO.

Also, I believe you can "downgrade" a MS account to a local account but I don't know where that is in the settings...

*edit*
Actually, it's easy to find. Go to Start > Settings > Accounts. Around the middle of that screen should be an option to "Sign in with a local account instead."