I solved it accidentally: ( I could not find the Select All button and cntrl+A and/or pressing shift button did not work)
on top left of the icould/photos , under the "iCloud Photos" you see a sidebar. the first top item is Photos, then Albums, then All Photos, Videos, ....
I made the mistake to go to All Photos, while you should go to Photos (the first item on the sidebar). when you click on it, you can see all your photos categorized by time and place tag. in front of each headline (including time and place) move your cursor to the rightmost place, two items appear: " + " (for adding to album) and "sharing item". press sharing item (which is an upward arrow coming out of a box), and all the photos in the category get selected/highlighted. now do not click on any of the pop-ed up items. but just go to top of the page right and next to your account name and the deleting button, you find the Download button (a downward arrow coming out of a cloud) press it and you can download all the photos in the category.
you can repeat this for all categories you want.
it is not like you can download all photos altogether, but I think it is better than downloading each one-by-one.