No doubt Apple and Microsoft will blame each other for this and it won't get fixed any time soon. So I have finally managed to download 14,000 files in a few hours, albeit in 14 steps. Now the limit might vary for you due to the specifics of your PC or network connection, but I'm willing to bet that what's happening is that the downloads are all timing out before they complete if there are too many running at once. More than that and it all goes pear shaped. That worked fine, and I gradually increased the number of files selected in one go until I hit the limit - it's about 1000 files.
So I reset the 'Always keep' option again and this time tried just a few files. Well, over a couple of days I watched lots of bandwidth being used by the icloud app, but no change in the free space on the disk. Simply selecting all files, right-click and ticking the option 'Always keep on my pc' should do it, right? Part of that archive is already in Icloud photos so the first job is to download all of it to my pc. I'm not a regular user of apple products I'm attempting to sort out a photo archive for a family member. After fighting with icloud for Windows 10 for a few days I believe I have a workaround for the slow sync issue that is reported in other posts.