If you're downloading a bunch of pictures from iCloud, it can't send a folder. What's supposed to happen is that iCloud sends the pictures in a folder that's been compressed in a zip file in order to keep the pictures all together. Then when you get the zip file it gets unzipped, and you have the folder with all the picture, and the zip file disappears.
That last step seems to have gotten confused. I would look to make sure that all the pictures are in good shape, before trusting it. In fact, I'd be tempted to trash the whole thing and start over. It's hard to know what else didn't work in the transfer.
How many pictures? I think I'd keep the transfers as small as practicable. If there's a little glitch then that can mess up the whole thing. Small batches are safer.