This comes almost completely from Rav Yerucham Olshin’s ירח למואדים on סוכות, volume ב, סימנים סא and סג.
After בני ישראל leave Egypt, we see the first appearance of the ענני הכבוד as the pillar of cloud:
לא ימיש עמוד הענן יומם sounds pretty straightforward—the cloud never left, but the Vilna Gaon looks at a later incident and understands it differently.
After the sin of the Golden Calf, Moshe prays for forgiveness and ה׳ tells him:
The Vilna Gaon (based on a number of other sources) explains what the נפלאת are:
So the cloud was with them through the splitting of the Red Sea, then returned after the יום כפור when they were forgiven for the Golden Calf.
But that contradicts the text later in Nechemiah:
What’s more, the Vilna Gaon contradicts himself. He famously explains why we celebrate סכות in Tishrei, not Nisan:
So here the Vilna Gaon says the clouds left after the sin of the Golden Calf (to return after יום כפור as above). The Gaon was pretty smart, so does he think the ענני הכבוד were with בני ישראל throughout (as in נחמיה), left after קריעת ים סוף (as in שמות) or after חטא העגל (as in שיר השירים)?
Rabbi Olshin answers, of course, yes. But that involves trying to understand the meaning of the ענני הכבוד. We have to take midrashim seriously, not literally, as the Gra points out when he says לא היה לעיני כל ישראל רק לפני הנביאים שבהם. They weren’t physical rain clouds, but the manifestation of כבוד ה׳, the presence of ה׳ in the physical world:
And there were multiple clouds:
Rabbi Olshin cites הכתב והקבלה on a seemingly unrelated side point. Why don’t we require a floor in the סוכה?
It’s because we are misinterpreting אחד מלמטה:
That’s a profound reinterpretation of what sitting in a סוכה means. We’re not just surrounded by ה׳'s presence, we’re supposed to feel that we are actually in it. But Rabbi Olshin picks up on the idea that the ענני הכבוד represent multiple things, that there are levels of our experience of the manifestation of the divine (that’s my words, not his, and much of the following is my extrapolation from his words).
There’s the ענן of the שכינה, the intense awareness of G-d’s presence, what Rudolph Otto called the numinous. At יציאת מצרים, the Jews felt that, and they kept that through קריעת ים סוף:
But it dissipated, not because they did anything wrong, but because it is impossible for a human being to remain at that level all the time.
And the sense of the שכינה would return, but it would be localized to the משכן.
There’s another level of feeling ה׳'s presence, an awareness of His protection and involvement in our lives. Call that the עננים of השגחה פרטית, the ones that surrounded בני ישראל on all sides and above. That they kept until the sin of the Golden Calf. In the aftermath of that, Moshe prayed that the people not be destroyed. ה׳ agreed, but said He would not deal with them again:
They were left with the last ענן, one that guided them from a distance: ושלחתי לפניך מלאך.
This ענן, the sense that ה׳ never abandons us and always provides direction and guidance, is the one that Nechamiah refers to: את עמוד הענן לא סר מעליהם ביומם להנחתם בהדרך.