WD & MacBook Pro

Hi all…
Just took delivery of my new My Passport for Mac 4TB, plugged it in and followed the instructions…
For some reason, I cannot see my iCloud on there to transfer my files(images) to the drive.
It’s asking for other drives which don’t use and also social media which I don’t use apart from Instagram…
Have I missed something here or have I wasted my money?
I am running the new Catalina OC on my mid 2012 13" MacBook Pro…

Thank You
Neil(UK)