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 email@example.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: