How can I save images that are on an iPhone but not in iCloud?
Try the following: 
Connect your iPhone with your Mac and start "Image Capture" for importing photos.

In general, the circled explanation mark indicates that those photos have not been loaded from iCloud. It may download with network connection (mostly Wi-Fi only). If there are no photos on iCloud this might be because of file corruption on iCloud. 

Also, iOS support for iPhone 4 stopped with iOS 7.1.2 - iCloud Photo library needs iOS 8.3 or newer. Your device therefore only supports iCloud My Photo Stream which only contains your newest pictures. There is no chance for your full library to be synced with iCloud.
(This does not count for iPhone 4s which supports iOS 9.3.5)

One last thing: Make sure photos are not indicated as "Transferred from Mac" (transferred photos can not be saved on any other Mac as the original source and won´t be shown on your current Mac).

Hopefully you´ll be able to access your photos. I hope these information may help you to understand your situation. Good luck!