One of us is missing something. In Photos.app I clicked download originals. The photos are there on my Mac. It’s bit gross to get at them though - right click on app > show package contents.

Are you wanting a way that doesn’t involve the photos app?

You can do that from iCloud over a browser.

If you open the Photos app (macOS) connected to iCloud with an empty library, there will be no photos until you import them from your phone. Hope this is clear now.

iCloud via browser has a limit of 1k photos per download.