How do I recover messages from the cloud that I did not delete?

iCloud is a syncing service. If you deleted a message from your phone, the next iCloud backup would have picked up that action and automatically deleted the message from iCloud.

If you have installed iOS 16 on your phone, try the following:

Tap Messages > Edit > Show Recently Deleted

If the message was deleted in the last 30 days, it will be in Recently Deleted

Tap to select the message, then tap Recover at the lower right of the screen

If the messages are not in Recently Deleted, they are gone.