How to sync Downloads folder to iCloud?
Set your Download location as Desktop or Documents in Safari Preferences → General

Then turn on iCloud for Documents and Desktop in System Preferences → iCloud → iCloud Drive Options. 

You might need to move existing content  in your new download location somewhere else. 

For your later edit, just set the Download location in Safari Preferences → General as Documents/downloads_folder_you_made and the turn on the sync. You might need to move the existing content in the default Downloads folder to the newly made one.