I have quite a large iTunes library, is there a way of retrieving the library onto my new MacBook from my old MacBook?

The older one's iTunes Library content can be migrated into the newer one's Music library. It is not stored in iCloud — other than any iTunes purchased content, which can be downloaded to the new Mac by signing in with the Apple ID you used to purchase that content.

The usual method of setting up a new Mac is to use Migration Assistant: Transfer to a new Mac with Migration Assistant - Apple Support.

Yes.

To be clear, nothing is stored in iCloud other than a record of your iTunes Store purchases. In other words everything in your iTunes Library — including iTunes purchased items, music from other sources, music that you ripped from CD or otherwise imported into iTunes — will have been stored locally on your Mac, and (if you use Time Machine) backed up in Time Machine as well.

I have never lost anything since the inception of iTunes many years ago. Album artwork is another story though. For some reason much of it was lost along the way, so if you put a lot of work into it as I did, don't get attached to your album artwork.