Do I need to download anything at all to play Xbox Cloud Gaming

All your game saves will be backed up in the Cloud already and all your digital content can be downloaded again. You don't need to do anything apart from retrieve your profile and download your owned content game saves will synch up automatically, It's
all good!

Oh okay, I think you may need to play the game on Xbox App first. All game progress that you have on Xbox is synced to cloud storage, so the moment you sign in and play the game, it will download to your folders.

So what the app they told you to download will allow you to connect the app to your console and play your console on your PC (remote play).

To play games from the Cloud, you need a Game Pass Ultimate subscription and you can access Game Pass games from http://xbox.com/play without having to download anything (because you're accessing the cloud).

It depends on the game. Not all games can be bought and played through the cloud. You do also need Game Pass Ultimate to play cloud games.

Cloud gaming is not shareable. All they'd be able to do is play online and play any games you download.