Yes, that's even more stupid! Best way to export photos from iCloud if you don't have mac is to use iCloud from the browser and bulk download from there, but it has a 10k files-per download limit! It also doesn't allow you to select all and partiton download this way, I had to manually increase selection until it's 10k and remember where I started.

You can download all you Apple data now, including photos.

https://privacy.apple.com/account -> "Get a copy of your data"

Then you will need to chose the maximum size of an archive part and wait for link to a download page.

And yet, the same is true for Apple photos about ease of export:

If you set the pref to keep originals locally, they're all on your drive, in original form, as well as the derived versions including caches of raw to jpeg, resolutions, and edited versions.

That said, Apple Photos does let you export even if only in cloud. Open the library, select all, and File > Export ... > Export Unmodified Originals.

It pauses for a second or two on my quarter million images, but is then happy to comply.

CMD-A then export all X unmodified originals works fine