No, you're not doing anything wrong. Can I ask what you're trying to accomplish by putting your XD file into the Adobe Cloud? Do you really just want to get a PSD version of your design, or are you trying to share the design with someone else?
If you're trying to share your design with someone else, you might want to try using the Sharing feature (click the button in the upper right corner of the desktop app). It shares your design to the web and allows others to view it and interact with it.