Photos - The photo "x" cannot be transferred because it is stored in iCloud

There are a few things to keep in mind if you find that some of your photos are not transferrable because stored in iCloud:

iCloud Photo Library and My Photo Stream

If you have any Apple Photos cloud services enabled such as iCloud Photo Library, or My Photo Stream, or Shared Albums, the full resolution files may not actually exist on your device. You'll see thumbnails, but the actual file will only be available when you display the picture in full screen on the device.

Since the photos are not on your device, iMazing cannot transfer them to your computer. There are three ways to transfer your iCloud photos to your computer:

1. View the photo or movie in full screen on your device using Apple's "Photos" app. This will download it make it transferrable in iMazing.
2. Download the photos directly from www.icloud.com
3. To download all your photos and movies on your device, enable the Download and Keep Originals option from:
   Settings > Your Apple ID Account > iCloud > Photos

Photos synched with iTunes or iMazing 

Photos synched with iTunes, or added with iMazing are not included in your backup. This behaviour is iOS side and cannot be modified.