It is not supported to import from your iCloud Photos Library, as stated in this support document: Import photos from another library in Photos on Mac You can only import from local libraries.
If you want to import from an iCloud Photos Library, duplicate your iCloud Photos Library, then import from the copy of your library, as the copy is not an iCloud Photos Library. But this will only work, if your iCloud Photos Library is not using the "Optimize Storage" feature, or the copy will be incomplete.
Or invest into Power Photos. The most recent version of PowerPhotos can import from an iCloud Photos Library as well, and even with the keywords applied, what is still missing in Photos. I am using PowerPhotos frequently to copy the new photos to my archive library of all photos.