Correction to my previous reply to @Ryder_del_Fin: I think I was looking at the wrong copy of the files. Only the unedited files are full resolution. Edited files are still half resolution.

You can see above, the edited .jpg and .heic are half the file size of the edited file of the same name. It is not about using more compression either. The photos are physically half the numbre of pixels (1536x2048) and so half the size, of the unedited files for the same photo (3024x4032).
I have tried this to an external USB drive and a local drive - it makes not a jot of difference.
I am using the WIndows app to download, not downloading from a browser. I just configured the download location in my iCloud app to be other than the default which is why you saw the folder named "Download" in my screenshot. The folder location isn't relevant to the issue though. FWIW my app settings are below. Definitely on my Windows machines (I tested 2 of them so far) the iCloud app downloads half size edited photos. Not sure why mine and yours is different????

I agree that downloads by clicking the Download button in the iCloud site in a web browser doesn't download full size images. What I did learn a short time ago after a bit more Google'ing is there is a hidden option to download "unmodified originals" iCloud via a web browser. When you click the Download button, by default it downloads a highly reduced image size. If instead of clicking Download button, you click-and-hold the button, you get a menu pop up which allows you to select the original size:

Sadly, that still is not a workaround because although it downloads the full size image, it downloads only the unedited file. If you choose the option "Most Compatible" instead, you get the edits, but it is a half size image. So, still no cigar.... iCloud seems determed to only allow half size edited files to be downloaded from it.... to Windows anyway. Haven't checked that on Mac. Will try to do so.
FWIW, as mentioned in another post of mine, using Microsoft OneDrive to upload photos from iPhone to OneDrive Cloud, then downloading from OneDrive to a PC, is a workaround - you get full-sized photos. I have since found that a paid, 3rd party cloud backup service I use, called iDrive, works too: it will backup only full size edited photos from an iPhone (it doesn't backup the unedited version), and if you restore the file you backed up from iPhone to your Windows
machine, you get the full size photo downloaded. It's interface to download is very slow and kludgy, not ideal for lots of edited photos, and iDrive is far from free, but it works. Based on what I've seen with OneDrive and iDrive, I suspect that any 3rd-party cloud backup service would probably work to get full-sized edited photos off iPhone. As a cloud service, it's just iCloud that's poorly designed and reducing the size of our photos without telling anyone. At the moment, I would say neither iPhone+iCloud are not justified as the high quality photo platforms that Apple claims them to be. iPhone/iOS has a serious defect and iCloud is just badly designed.
This is crap. Android anyone?