Have you checked, if the photos missing from your slideshow are still in iCloud? You can check the photos directly in iCloud at www.icloud.com in the Photos.app on that page.
If the photos are no longer in iCloud, replace them in your slideshow by versions that are still there.
The error message you are quoting could mean several things, in addition to the possible problems mentioned by Tony:
- Lack of storage on your Mac: The photos cannot be downloaded, because there is not enough free storage on your Mac to keep all photos stored locally at the same time. How much storage is really free and not just "available"?
- There might be a problem with your AppleID. Test your iCloud AppleID by trying to purchase a free app from the App Store.
- Are you connected to Wi-Fi? Could it be that an antivirus filter or firewall is blocking the access to the App Store?
- Is there any problem with your iCloud subscription? Do you have plenty of free storage in iCloud? If you are running out of cloud storage, all bets are off and iCloud will no longer work reliably, until you are freeing storage in iCloud.