From time to time I am uploading photos from my PC to my iCloud Photo Library. I would somehow like to set my iPhone XR so it will automatically download those photos to it's Photos app. It seems to me that I can do it only if I allow uploading from it too. I would like to prevent that, if that is possible (I do not want to upload all 10K+ photos from iPhone to iCloud).
Download photos from iCloud Photo Library to an iPhone without uploading everything from this iPhone
iCloud is a syncing service an not a backup service.
That means that every device logged-in with the same Apple ID will have access to the same files, including photos.
There's no way to do the selective download that you're asking for. Either you sync your photos to your iPhone or you continue to selectively download the photos you need.
Other possibilities include not using iCloud for this and using a 3rd party backup service like Dropbox.
The Apple camera app will not let you set up iCloud and download only. However, you don’t have to use the apple camera app to take pictures. It would work fine to set up iCloud and allow sync both ways and just never take a photo from your lock screen / control center / Apple app.
Pick any third party camera that saves the photos to the sandbox / local storage and doesn’t automatically move the photos to iCloud.
In your case, you would have to move all those photos out of the Photo Roll before you enable sync else they will upload.