How to detect malware on my MacBook?

You can install a third-party app which scans/monitors your computer for such threats. Do a search on the web for "stop malware on mac" or something similar. One such app can be found here https://www.malwarebytes.com/mac/

Also, prevention is better than cure, as the saying goes, so read this too: Change Security & Privacy General preferences on Mac - Apple Support

I cannot say what specific data a spyware will try and "spy" on. It could be different depending on the spyware app. Generally, it is location settings, banking information, passwords, data, etc.

However, the chances of your iPhone getting infected by malware are very small. To stay safe, keep these tips in mind:

• Keep your phone up to date. Be sure to install iOS updates whenever they're available, and install app updates regularly.
• Never jailbreak your phone.
• Don't install apps from any location outside the App Store. Generally, you can't do this without jailbreaking a phone, but developer tools let you circumvent this to install test versions of unreleased apps. Avoid this.

If you suspect your iPhone is infected, Restore your iPhone, iPad or iPod to factory settings – Apple Support

For further reading:

Install a configuration profile on your iPhone or iPad - Apple Support

How to delete an app that has a configuration profile on your iPhone, iPad, or iPod touch - Apple Support

About privacy and Location Services in iOS and iPadOS - Apple Support

These were all related to iPhone. Follow similar things for your Mac.