New Mac: how to stop iCloud Drive from downloading locally every single fle?
You can have macOS to store your infrequently used documents, full-resolution photos and videos, and all messages and attachments to be stored in iCloud and retrieved to your MacBook only when needed to save on storage space on your MacBook.
As described in the "Optimize storage space on your Mac" Apple Support article for macOS Monterey, go to Apple Sign (on the top left) -> About This Mac -> Storage -> Manage and click on the "Store in iCloud" button and activate any of the "Desktop and Documents", "Photos", and "Messages" categories in the window to open as per necessary and click on "Store in iCloud" again to close the window. Also, make sure the "Optimize Mac Storage" option is activated in the System Preferences -> Apple ID -> iCloud page as shown in the "Set up iCloud features on Mac" Apple Support article.
If there are folders you wish to make sure they are downloaded onto your MacBook, right click on any of them in Finder and select "Download Now".