How is it saved in .xd format?

Hey, can you elaborate on what you mean by saving "photos" in .xd format? You can save an .xd file to your PC instead of the cloud when you go to the menu and select Save As Local Document, or press Shift + Ctrl + Alt + S.

If you want to export the artboards as images (png, jpg), you can go to the menu and do Export > All Artboards.

You can also select specific layers or artboards, and select Export > Selected from the menu.

If you want to export particular assets (photos) from different artboards, you can also mark the layers for export

and then select Export > Batch from the menu. This will export all the layers with this icon active in the specified format (png, jpg, svg for vectors, or pdf).