How to preserve Date Taken when downloading photos from iCloud to PC?

You can use 3rd party tools like exiftool etc to copy internal metadata dates to those fragile not so important file creation & modification dates. There is a Windows exiftool GUI version which might also do that and I bet there are also other tools for that purpose.

I do not use iCloud Photos but AFAIK at least on the Mac side images downloaded from there should now preserve those file dates.

I was just answering Matt's supposition.

I think the evidence is that the data are there, provided by Apple, but how it is shown is up to the File Manager which is up to you, not Apple. Specifically, you said, "There should be a way to preserve the original photo date." It seems to me that the original date is preserved, you are just not seeing it.

Have you looked at the files with an Exif reader? Have you loaded them into an Image viewer? Do you have the latest update to Windows?

Matti Haveri wrote: at least on the Mac side images downloaded from there should now preserve those file dates.

From the Photos app on a Mac, Unmodified Originals show the original image creation date for both file create and file modify. But edited versions of the pictures are created on the fly when you download them, so the file modify date is the export date, while the file creation date is (now) the image creation date.

From iCloud to a Mac, file creation and modify dates are both the export date for originals and for edited versions.