Hi too-many-photos (Me Too 😀)
How are you exporting. If you use drag/drop, you only get the smaller preview files.
You need to select the images then file>export (for edited versions where you can set the size and quality) or file>export unmodified originals for a copy of the files exactly as when they were imported.
Note that exporting *requires* the originals of the files you are exporting to be downloaded (automatically by photos). So if you don't have space for your whole iCloud library, you'll need to export them in smaller batches. Try using a smart album to select photos from a date range at a time.
Aleternatively you can download directly from icloud.com - but you are also limited there on how many you can download at a time, and you can't use smart albums to select them for you.
Your final choice is to set up a separate account on your mac, and sync iCloud with an external drive on that account. That way, you can create a backup version of your full library on an external drive while still using optimise storage on your main account. For details of how, see this user tip from Leonie
https://discussions.apple.com/docs/DOC-250001961