If you want to archive directly from iCloud you need special settings. Those are:

  • Username: This is usually the name part of your iCloud email address (for example, emilyparker, not emilyparker@icloud.com).
  • Servername: "imap.mail.me.com".
  • Password: you need an app-specific password. See the blog article on app specific passwords
  • SSL: yes.
  • Port: 993.

Here is how the settings look like in Mail Archiver:

And then you can select your mailboxes for archiving as usual: