Try downloading photos as well to see if it's tied in properly to iCloud.
If you're using the Windows Store version of iCloud, I would advise uninstalling that and downloading/installing the standard version instead.
Here's what I wrote for a different/yet related issue that might help you out as well.
I struggled with this same issue on a client's Windows 10 system.
The solution I found was to uninstall the Microsoft Store version of iCloud, restart the computer, then download and install iCloud from the Apple website instead.
I then made extra sure not to try to change any settings from the defaults and so far have been successful in downloading photos.
Other troubleshooting that didn't appear to make a difference was:
1) Uninstalled Webroot antivirus
2) Made sure Controlled Folder Access was disabled
3) Chose various folders on external drives, internal drives.
4) Changed the folder I was choosing for iCloud to share with "everyone"
All those other steps did nothing to resolve the issue -- uninstalling the crappy Windows Store version and installing the normal version appeared to work.
For reference, I used the link from the Apple Support page here:
https://support.apple.com/en-us/HT204283