How to sync macOS with iCloud Drive?
Assuming you've logged into the same Apple ID in Apple > System Preferences > iCloud as you have on your other devices, you should be fine. Beyond this, you've already selected the correct options regarding iCloud Drive.

Considering this is a totally new MacBook, you will need to allow some time for everything to get synced, especially when there's multiple devices concerned and if there's larger amounts of data (not only in terms of file sizes, but also in terms of the actual number of files).

Another factor will be the speed of your internet connection. In the meantime, just make sure your MacBook is online and has a stable connection. I'd allow 24hrs in order to start seeing your files populate, keeping in mind that they may not all be there if you have a lot of data.

Finally, if you do have a lot to sync, you can opt to not let your MacBook go to sleep during the initial sync period (i.e. allow your screen to go to sleep, but not your MacBook itself). In other words, select the Prevent Computer from sleeping automatically when the display is off option in Energy Saver preferences.