If I recall correctly the server world files are in:
%userprofile%\AppData\LocalLow\IronGate\Valheim\worlds_local\

while singleplayer world save files are in:
%userprofile%\AppData\LocalLow\IronGate\Valheim\worlds\

and worlds that have been uploaded to the cloud can be found in:
path_where_you_installed_steam\Steam\userdata\a_long_number_which_is_your_Steam-ID\892970\remote\worlds

You need the .db and .fwl files of your world. You do not need the worldname_backup_auto-date.* files; you can leave those.

If your server had mods installed try running your local game with the same mods. Maybe one is missing and causing the issue.

If your world still does not load correctly I don't know what else it could be. Valheim worlds can usually just be copied and they work.