What kind of albums are you creating on your Mac in Photos? Standard albums or smart albums?
With iCloud Photos enabled the standard albums should appear on your iPhone, but not the smart albums.
The standard albums should appear in iCloud, once all photos have been uploaded to iCloud Photos.
What is the status bar below "all Photos" album showing? Is it still showing "Uploading"? Then it may take a while longer until you will see the albums.
Uploading to iCloud is not just a data transmission - Photos needs to sync the library and it may take several days for a moderately sized library. For example, the upload of my 50000 photos and videos took ten days on a fast Wi-Fi network.
To check the status bar see: Check the status of your library in Photos for macOS - Apple Support
Which system version is running on your Mac?