Recently I had the most puzzling problem with sending emails to iCloud. For whatever reason I cannot comprehend, sometimes the emails did not arrive to my iCloud account.
I did the usual diagnostics of course: check the spam folder in iCloud and the sent folder of the source email account. The result is nothing in the spam folder and email marked as sent in the source account; it was as if the email had been blown to oblivion. I even check the source code of my email and it looks fine. Lastly, I also tried to send that email to other accounts such as Gmail and Yahoo. Both received the message.
Then after a couple hours of frustration and research, it occurs to me what if it's something in the message itself?
Lo and behold, the problem was that there was a link to a Web page in my email and iCloud doesn't like it. The solution was just to remove that link and emails are sent as normal again.
I think it's poor practice that iCloud simply deletes emails like that, should really go to spam folder at the very least.
Anyway I hope this saves you some frustration if this happens to you as well.