I can personally confirm I've downloaded an entire iCloud library at once, to a brand new Mac, using the 'Download Originals to this Mac' option. As have many others here, I would think.

That's literally what that option is for.

If it's not working for you, you might be dealing with a bug, or perhaps you haven't given it enough time to sync. If you go to Photos > Library and scroll down, it should show you the sync status.