I have a gmail address as my current Apple ID and I would like to change it for the @cloud.com address. The problem is every time I try this, a message appears saying "could not update email, you can only add the @icloud.com address that is already on file in your account" and I don't get why, the cloud address is linked with this account.
See Change your Apple ID https://support.apple.com/en-us/HT202667, specifically this heading If your Apple ID is a third-party email address. It say identifies the "@icloud.com address that is already on file in your account."
When you change your Apple ID that is a third-party email address, you can use another third-party email address. Or you can use an @icloud.com, @me.com, or @mac.com email address that's already a login alias or alternate Apple ID for your account. To see these addresses, sign into your Apple ID account page. Click Edit under the Account section to reveal Reachable At. In this list, a login alias will have a 
next to it which, when hovered over with a mouse pointer, shows this message: "This is an alias of your Apple ID email address."
See Change your Apple ID https://support.apple.com/en-us/HT202667, specifically this heading If your Apple ID is a third-party email address. It say identifies the "@icloud.com address that is already on file in your account."
When you change your Apple ID that is a third-party email address, you can use another third-party email address. Or you can use an @icloud.com, @me.com, or @mac.com email address that's already a login alias or alternate Apple ID for your account. To see these addresses, sign into your Apple ID account page. Click Edit under the Account section to reveal Reachable At. In this list, a login alias will have a next to it which, when hovered over with a mouse pointer, shows this message: "This is an alias of your Apple ID email address."
Based on what I have read, I suggest you leave your Apple ID email address as a 3rd party email address because you have more flexibility if you need to change the email address. For example, if the Apple ID got compromised, you can change it to another address. I also have read of many people who were locked out of their accounts when they forgot their password. Since the recovery email address is the @iCloud email address, if you forget your password, you also can't access your email to get emails from Apple to recover your account. You can set a rescue email address, but for some people, this hasn't worked.
Problems to change Apple ID
