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Given the whole private cloud bit, I am assuming they keep the private keys server side and never let them out.
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I think there's a chain of trust. The sensor signs raws, and the private cloud takes signed raws, does minimal processing so they're at least coherent, and re signs that output (maybe even including the original signed raw as well in the image file).
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How would the server know that the request is coming from a real iPhone?

This is a pretty standard application of trusted computing and can be done entirely on the iPhone. A server would only possibly be needed for anonymization (while retaining key revocation capabilities if a key does end up leaking), but there are serverless ways to do even that (TPMs have supported these for a while now).

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It wouldn't, but you could validate that a particular picture was created at a particular time, and had not changed, for example, especially with metadata that you may not want to share but that establishes certain parameters like gps coordinates. A lock, rather than an end-to-end pixel signature, which shows what was contemporaneous rather than exact provenance. If an event happened on day 0000-00-00 00:00:00am, but your photo was taken at some other time, it casts doubt.

I think a big part of validation for things like these are just "could it have been modified since Z event happened", because Z was not something people paid attention to before.

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That's a good point, You might still be able to trick the cloud to sign your photos, but that's something they could patch in updates without losing control of the key. They could have the server only sign photos taken on the latest ios version.
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And honestly you could have a similar antitampering oracle that was at least obscured, in terms of "we've detected tampering but won't tell you how or why", which is frustrating but I have to imagine that 99.9%+ of images are clean.
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