Why doesn’t target display mode work?
Macbook's with USB-C ports do not support Thunderbolt 3 and therefore the Apple Thunderbolt 3 (USB-C) to Thunderbolt 2 Adapter can not be used for Target Display Mode. See Use your iMac as a display with target display mode and About the Apple Thunderbolt 3 (USB-C) to Thunderbolt 2 Adapter
However, if your new MacBook really is a 2020 MacBook Pro, then your question is a duplicate of Target Display Mode not working on MacBook Pro 13&quot; 2020. According to IW1234's answer, Apple Support stated they do not have this feature in newer devices.
I should also mention the 2014 iMac is not suppose to be running a macOS newer that High Sierra. However, I have a 2013 iMac with High Sierra and Catalina installed. When running Catalina, Target Display Mode works for video, but not for sound.