I am Spartacus â
The trick, I have found, is to use Ye Olde Automator Application.
Four easy steps:
Step 1:
Open Applications -> Automator
Choose "Application" for your document.
Step 2:
In the Library on the left, choose "Files and Folders"
Then choose "Get Specified Finder Items"
Click "Add"
Select your iCloud Drive out of the favorites bar, and click "Add"
Step 3:
Now choose "Open Finder Items"
Leave the default setting.
Step 4:
Test it by running at the top - it should open your Finder to the iCloud Drive.
Assuming this is the case, save the Automator Application you have just made to the Desktop - I called mine "iCloud Drive".
BONUS:
Change the icon!
Right-click the application on the Desktop and choose "Get info"
Go out onto the InterWebs and find a nice icon. I really liked this icon set: http://www.iconarchive.com/show/icloud-icons-by-ahdesign91.html
Click on the image in your Safari browser that you like.
Drag the image from your Safari browser to the little miniature Automator icon in the top left corner of your Get Info box.
If you have done this right, a green plus sign will appear.
Release your mouse button.
PRESTO - you have a real, bona fide, iCloud Drive link with custom icon on your desktop.
Now that you have spent hours trying to figure this out like I have, I hope it vindicates your desire for laziness in not simply clicking on the Macintosh HD. (joke!)
Enjoy!