How can I import selected Photos to my MacBook Pro?

Connect your iPhone to the MBP with its USB charging cable and launch Image Capture. With it you can select specific photos for importing into your Photos library on the MBP or to a folder on the Desktop.

Are you talking about transferring pictures from your iPhone to your Mac, or from a website to your Mac, or from your Camera to your Mac, from a Time Machine backup to your Mac, or what? What do you mean by selected?

By to your Mac, do you meat to folders in Finder, or do you mean to the Photos Library? or what?

For pictures I want to move from an old CD backup, I just drag them to the Photos icon. What do you need?

Things tend to get confused when you use more than one of the various sync/pull/push methods to move photos around among your devices -- iCloud Photos, iTunes/Finder "sync"/push, Image Capture, and the now-discontinued My Photo Stream. It's not clear to me how many have touched your devices.

You've mentioned that you have photos in iCloud Photos.

Is iCloud Photos enabled on your Mac? With Optimize Mac Storage?

Is iCloud Photos enabled on your iPhone? With Optimize iPhone Storage?

What indicates that you have "7k+ photos and a few videos stored on iCloud" and where can you not see any of them?

Have you tried signing on iCloud.com and viewing them there?

Does your iPhone have a Folder named "On My Mac" (or similar) full of photos for which the trashcan is not offered as on option ("undeleteable" files)?