How to make a "you have a new memory" movie with my own choice of photos and videos?
First, create an album from the photos you wish to include in your memory, or find an appropriate collection you wish to create a memory from, such as a moment.

On iOS, tap the collection header to show as a memory, then , then choose Add to Memories.

On Mac, open the album or click on the header to a moment, then choose Show as Memory, and finally Add to Memories.

You can include any photos from across your library taken with any camera and including video clips. You're not required to use iCloud Photos for this functionality since all functionality of this nature is powered by on-device processing.