As you wrote - I wanted to clean out my photos and dump a bunch of photos onto my external hard drive, that way I can delete them from my iPhone...I tried to drag the photos from iCloud.com into a folder on my Mac. -- photos can't be directed dragged and dropped from iCloud.com to Mac in finder > creating a folder .
When an iPhone and Mac are signed in with same Apple ID and password on the same network and photos are turned as on they are synced with iCloud server https://support.apple.com/en-us/HT207689
If you delete photos from iCloud.com they will be deleted from iPhone and Mac .
Photos can’t be transferred directly from iCloud to an external hard drive for that you need to set up iCloud photo library see the article https://support.apple.com/en-in/HT204264
And its preferences https://support.apple.com/en-in/guide/photos/pht5156cc968/4.0/mac/10.14 , open finder > Go > home > your user name > pictures either drag and drop Photos Library.photoslibrary to an external hard drive , the second method is right click on Photos Library.photoslibrary and click on show package contents in the upcoming column , you can also drag and drop complete masters folder to an external hard drive that is connected .
Also as per the article https://support.apple.com/en-in/guide/photos/pht6d60d10f/mac