The "forwarding email address" in Gmail is simply the email address where you want your Gmail messages to be sent. If you're trying to forward your Gmail to your iCloud email, then yes, the forwarding address would be your iCloud email address. So, you’d enter your iCloud email (the one you use with Mail) as the forwarding address in Gmail’s settings.
Once you've added the forwarding address in Gmail, make sure you've confirmed it (they probably send a verification to the iCloud address). After that, Gmail should start forwarding to Mail without issue.
If it's not working, it could be worth double-checking Gmail’s forwarding settings and making sure there's no misconfiguration or additional filters blocking the forwarding.