How can I avoid that data (40,000 pics) from my iCloud Drive is automatically copied to my MacBook?

Well, I suppose you cannot selectively let your Mac download iCloud Drive content (or not). Either switch it off on your Mac or maybe optimise iCloud Drive storage in system preferences -> iCloud -> options.

It might be a viable option to "store in iCloud" (one can choose between only iCloud drive or also desktop). I guess that this feature frees up space on the Mac when required and not keep it empty from the beginning.

Free up storage space on your Mac - Apple Support

Upgrade to Sierra and store the photos in your Documents Folder., if you not want to let Photos for Mac manage your photos. On Sierra you can store the documents folder in iCloud as "Optimized", meaning older documents will only be kept in iCloud and not locally, if your Mac does not have enough storage to keep them locally.

But you cannot do that on El Capitan. Syncing the Desktop and Documents Folder with iCloud Drive in combination with optimizing the Mac storage has only been introduced with Sierra.

Sorry no not at all... Simply bought a DS a year ago and happy with storage and handling wise. It is not that difficult as it seems to be to beginn with... I am storing all images onto a DS and are happy with viewing them thru the built in "Photo-Station". ... Have a look in here https://www.synology.com/en-global/dsm/6.1/features and try out the online demo on https://www.synology.com/en-global/dsm/live_demo

I recommend a third party solution, e.g a Synology DiskStation, furnishing the service, space and accessibility at a reasonable prices you are after.

Appears to be a bit of an overkill for the average home user.

Are you affiliated with that company?

I guess I prefer physical hard drives which I can control.

a solution too. Anyway , my attempt was to be helpful revealing alternatives..