You are using a web based iCloud account Web-only access to iCloud - Apple Support
How do I get the full set of iCloud features?
If you have an iPhone, iPad, iPod touch, or Mac, you can get the full set of iCloud features. Simply sign in to iCloud. You get immediate access to all iCloud features and 5GB of free storage
Turn on photos box from Mac , so that photos sync and set up photo library Set up and use iCloud Photos - Apple Support and its preferences Change preferences in Photos on Mac - Apple Support
And designate the photo library Designate a System Photo Library in Photos – Apple Support
Now you can export photos to untitled folder in finder .
Second method is select photos from www.icloud.com take cursor on top menu bar file > export as pdf , you have to save in untitled folder , open finder in iCloud Drive section > click on untitled folder , select iCloud photos.pdf , press space bar the photos will open , or you can right click over the file and click on open .