Can I keep some things downloaded if I optimise photos
I want to optimise photos but I want to download some to keep
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There is no option to manually select some photos not to be optimized.
However, note that depending on the space available on your phone, even when you turn on the optimize option some or all of your photos may not be optimized if your phone is not low on storage space. Also you can download any optimized photo at any time (as long as you have wi-fi or cellular) by tapping on the photo. Also see the following from Set up and use iCloud Photos - Apple Support
If you turn on Optimize Storage, iCloud Photos automatically manages the size of your library on your device. Your original photos and videos are stored in iCloud and space-saving versions are kept on your device. Your library is optimized only when you need space, starting with the photos and videos you access least. You can download the original photos and videos over Wi-Fi or cellular when you need them.