For iOS (12.3.1) try:
Settings>Passwords & Accounts
Tap the account in question, in your case I suspect ‘iCloud’. Within that, things might vary. I don’t have an iCloud account, but when I tap on my IMAP account, then tap on the ‘Account…email@example.com’ line, then the ‘Email…firstname.lastname@example.org’ line, it gives the the option to add email addresses and then select one as default (it gets a small checkmark by it). So, yeah, it’s buried 5 levels deep and nowhere do you see any intimation that you’re setting your default reply-to address.
For macOS (10.14.5) Mail:
Mail>Preferences>Accounts>Account Information>Email Address:>Edit Email Addresses…
Then when you have the addresses entered, you can choose the default using the “Email Address:” popup. Again, there’s nothing whatsoever to guide you to that location, and no indication anywhere that you’re setting a default reply-to address.
Oh, and be careful that you use Mail>Preferences>Accounts and not Mail>Accounts, which will take you someplace completely different.
–(the intuitive UI is dead)Ron