WHAT DOES ICLOUD PHOTOS DO, AND SHOULD I USE IT?

In iOS’ Settings > Apple ID > iCloud > Photos and in macOS Catalina’s Photos > Preferences, what used to be iCloud Photo Library is now just called iCloud Photos. If you activate iCloud Photos in iOS, all your photos are kept online until your iCloud storage fills up. To buy more, go to Settings > Apple ID > iCloud > Manage Storage > Change Storage Plan, or in macOS’ System Preferences go to Apple ID (or iCloud) and click Manage.

On your Mac, tick iCloud Photos to upload all photos from your Mac in the same way (tick ‘Copy items to the Photos library’ in Photos > Preferences > General to include newly imported pics) and display all iCloud photos. If you select ‘Download Originals to this Mac’, all iCloud photos (from all your devices) are also kept on your hard drive, but note: as long as they’re synced to iCloud, deleting one anywhere deletes it everywhere.

You’re right in thinking that, in macOS 10.15 Catalina, desktop file exchange with iOS and iPadOS devices is now done in Finder. Connect your iPhone or iPad with a suitable USB cable and it should appear in the sidebar of a Finder window; select it to see options similar to those previously found in iTunes. To make this happen, you need to unlock your iPhone (with your passcode, Touch ID or Face ID), then select it in the sidebar, click the Trust button, and finally tap the Trust option on your device. You can tick ‘Show this [device] when on Wi-Fi’ to see it listed in the sidebar in future without a cable, whenever it’s on the same network as your Mac. If the device still isn’t visible in the sidebar after trusting it, go to Preferences on the Finder menu and, in the Sidebar tab, make sure ‘CDs, DVDs and iOS Devices’ is ticked.