What Doesn't Transfer to a New iPhone?

It may depend upon how you transfer.

Read the support article Transfer data from your previous iOS or iPadOS device to your new iPhone or iPad - Apple Support to learn how to transfer data from your previous iOS device to your new iPhone, iPad, or iPod touch. Select one of the three options: Quickstart, iCloud, or iTunes/Finder.

About missing information after you restore your iOS device with iCloud Backup - If you're missing information after you restore your iPhone or iPad with iCloud Backup - Apple Support

Music from your own CDs, for one thing. I believe that you must transfer that from a master library in a Mac or Windows PC, the same way you did with the first phone.

Apps get redownloaded from the App Store, so if any apps you were using have become unavailable, those apps won’t transfer.