Click All (or another collection) in the sidebar.
Double-click a book or audiobook that has the iCloud status icon > System Settings, then click your name at the top of the sidebar. If you don’t see your name, click “Sign in with your Apple Account” to sign in to your Apple Account or to create one.
Open Apple Account settings for me
Click Media & Purchases, then choose options using the Free Downloads and Purchases and In-App Purchases pop-up menus.
See Authorize your Mac to get purchases from the Book Store, Audiobook Store, or Audible website