Some apps that try to be extra clever also seem to have incompatibilities.
You said, "I don't know what is the difference between iCloud Photos or iCloud Drive"
iCloud Photos is turned on in the Photos app's settings. iCloud Drive is turned on in the Apple ID settings.
iCloud Drive is meant for document files, maybe Word or Numbers or pdfs. iCloud Photos works specifically with the Photos app, and it manages the Photos Library using the tools designed for pictures.
Both are services that allow the same files to be available on multiple computers, including mobile devices. Because they are synchronization services, not storage places, they keep files on the local device. You don't typically have "files on the cloud and downloaded them to my computer." because those files are already on the computer. I do download a file or two occasionally for alternate uses.
On your Mac you have an iCloud Folder containing the files that are copied (not moved) to iCloud Drive. You have, in the Pictures folder on your Mac, a Photos Library with pictures that are copied (not moved) to iCloud Photos. You can turn on "Optimize Storage" for iCloud Drive, or, separately, "Optimize Storage" for Photos. Those settings will save storage, but they make backups more complicated.
You said, "I recently downloaded my photos and videos from iCloud to my Mac. Since then, When I click on video files to play, it won't work."
How did you do this downloading? Did you download from iCloud.com using a browser?
How are you viewing these movies? Clicking on a movie does not activate Photos. What app are you using? As I mentioned earlier, I used iCloud Photos (not iCloud Drive) at iCloud.com, and I chose "More Download Options" and then chose "Unmodified Original." The video was transferred to my Downloads folder. I opened the Download folder in Finder, and hit the spacebar to activate QuickLook. The video played properly in QuickLook.
You said, "It was a while ago, so I can't remember"
Have you tried recently?
