Can not download multiple photos at once from ICloud

See this article Set up and use iCloud Photo Library on your Windows PC - Apple Support

Select multiple photos and videos: Command-click them on a Mac or Alt-click them on a Windows computer.

if You are using apple pc you can sync them down using photo library option in preferences under account if win pc you can use icloud for windows.to select more photos on icloud.com is restricted by the site.