So... I decided to check something in a book I purchased. Silly me, I decided to check this on my laptop.
The book wasn't there. None of my book purchases were there. The store tab in Books preferences was helpfully unavailable, at all.
Do you know the solution to that? System Preferences -> Apple ID -> Uncheck "Optimise Mac Storage". This setting either stores all of iCloud on your computer, or "older documents will be stored in iCloud when space is needed".
iBooks isn't even listed there (it's listed in separate options under iCloud Drive).
Would it kill anyone to at least write a description of this behaviour in iBooks? No. To quote Casey Muratori, "they. don't. care."
Update: it showed all my books in downloading state, but nothing was downloading. Quitting and opening books, and my books are gone, again. Thankfully, I remembered somethig something authorization and went to Books menu -> Store -> Authorizations -> Authorize this computer, and authorised this computer.
They. Don't. Care.