Yes, the iPhone 12 .heic I downloaded from iCloud web had all the metadata as it should.
In my case, I use Synology, and was trying to get Synology Moments to backup my whole phone, but their iOS app upload isn't very good, and gets hung up and you have to start over. So, I was trying to get iCloud for Windows to download all the images, so I could just transfer them over, but with it having issues with iPhone 12 photos, it's not going to work either. Thankfully, I've not taken that many photos with my new phone, so I may just go the iCloud for Windows route for the bulk of the images, and manually export the iPhone 12 images.
It's just so strange, what's different about the iPhone 12 pictures that iCloud for Windows treats them differently. All my photos are 12MP, my SE photos are .jpg, so at first I thought maybe it was because the iPhone 12 are .heic, but my iPad Pro photos are also .heic and they show up full resolution.
I submitted this to apple.com/feedback, and linked this discussion. Hopefully it'll be fixed soon (but with the holidays, best could probably hope for is January).
When I first noticed this, I was on v11.5, and there was a v11.6 in the Microsoft Store, so I upgraded, but the issue persists.