I learned from a possibly hyperbolic Reddit thread that if you go to https://privacy.apple.com you can download not only all of the data Apple has about you, but also all of your iCloud files. Because Apple insists that the iCloud folder must live on an internal hard drive, making a complete copy to an external drive has always been a chore. The best options are either spend $800 on a 2TB internal drive (which, isn’t a great option on a $999 machine and is only recently even an option) or setting up a Windows machine because iCloud on Windows could be installed in any directory.
There’s still no easy way to do this for family accounts, that I know of. If you know of one, let me know. I generally trust iCloud, but after last week’s outages I realized I might be too trusting.