How do I download all photos to a HDD from iCloud? I have a very simple request, I want to download all my data, or at least all my photos, from iCloud to a local drive, and then I can do whatever I want with them.

The instructions here:

https://support.apple.com/en-gb/HT201302

don't work - unless I am missing something. When I choose Import, I see all pictures all through, and I just want to download from Photos those that are on the cloud.

For Google, it is very easy, you just go to Google checkout, and get a ZIP file with all YOUR data. How can the same be done with Apple ID?
Go to https://privacy.apple.com/account , sign-in and request download for photos. 

Another method can be to allow Download originals to Mac in Photos app preferences and then go to /Users/yourname/Pictures/Photos Library.photoslibrary/Masters after all the photos are downloaded. 


  You can request a copy of the data that Apple stores which is
  associated with your Apple ID. This information includes, but is not
  limited to:
  
  
  Your Apple ID account details and sign-in records.
  Data that you store with iCloud such as contacts, calendars, notes,
  bookmarks, reminders, email, photos, videos, and document.
  


from https://support.apple.com/en-in/HT208502