Where do photo downloads from iMessages get stored on my iPhone and/or in iCloud?

I am having an issue with locating photos that were sent to me in an iMessage/Messages. I click the download icon next to the photos in the iMessage to download them to my iPhone and I can see them in Photos on my iPhone. However, when I sign into iCloud, I do not see these downloaded photos backed up anywhere. Where do they go?

My ultimate goal is to upload the photos to Walmart to print. Even when I select them directly from Photos on my iPhone, they do not get uploaded, but photos that are backed up in iCloud do get uploaded.

I don't know how to access these photos and would LOVE to figure out how to do that.