Surprisingly, there is no official way to download all (400 Gb) photos from iCloud. Here is an open-source command-line tool to download all your iCloud photos.
Technically, there is: users of the European Union can get a full export of all data that Apple has about them, including all the stored photos. It can be requested from here: https://privacy.apple.com/
I think if you are on PC. But on Mac with the Photos App
Cmd+A > File > Export Unmodified Originals
I'm not sure it's surprising. Apple doesn't want you to leave and making something as important as your photos difficult to move helps with that.
That’s not true. On any Mac or iPhone you can choose the iCloud Photo Library storage option to download all instead of letting the system optimize the storage. And if you turn off iCloud Photo Library, it will also try to download it all. I know this because I stopped using iCloud Photo Library and that was how I got all my photos downloaded.