Solution: Searching files on iCloud when not found by spotlight

iCloud is not indexed and spotlight only searches local files. If you have "Optimise storage" selected for iCloud older files will be removed from your Mac and only stored on iCloud. They will not be searchable from spotlight until you have opened them (then they sync to your Mac). BUT if you search (Files) on an iOS device you will be able to find all files on iCloud. After open a file on your iOS device it will also be available if searching with spotlight. Until Apple fixes this you can have iPhone mirroring on and control your phone from your Mac - i.e. do searches in Files (on your iCloud). Unfortunately mirroring is not available within EU - maybe it will be possible later.