How do I make a copy of my iCloud data back to my desktop

If you have iCloud Drive (with or without the Desktop & Documents option) turned on, you have a local copy on your Mac except that some files may not have a local copy if you turned on the Optimize Mac Storage option at Apple menu > System Preferences > Apple ID > iCloud (in the Preferences sidebar) > Optimize Mac Storage.

If the Optimize Mac Storage option is turned on, turn it off and any files not already on your Mac will sync to it.

If you have iCloud Photos turned on, the similar option for Photos is in Photos Preferences > iCloud > Optimize Mac Storage. If that preference is on, change it to "Download Originals to this Mac."

See: Set up and use iCloud Photos - Apple Support

To copy iCloud data see the article Archive or make copies of the information you store in iCloud - Apple Support

When iCloud Drive and desktops and documents box is turned on Use iCloud Drive to store documents on your Mac and iOS devices - Apple Support you don't need to save personal documents twice in finder or other locations .