When setting up your new iPhone you should have the option to wirelessly move the data from one to another. This would be substantially faster than using the lightning connector on the 12. USB 2.0 speed is a theoretical max of 53mbs, while WiFi should be a couple of hundred mbs.
iPhone 11 and later supports only 2 spatial streams on 80MHz channel width at VHT9 (source: Apple), which could only achieve theoretical maximum of 866.7Mbits in ideal situations (source: MCS index chart).
OPs iPhone 12 Pro Max has 801.11AX (WiFi 6) so it might be able to push faster, but that’s not what the documentations suggest at this time.
Yes it works and Apple actually built a system to copy over files while the device is being set up so they are available quicker. It’s working since iOS 12/13 and the switch to USBC should have zero impact.
But as others have said, you don’t need to tether them. Just keep each of them close by and you’ll be given the option on your existing phone to set up your new one. It will copy over everything outside of Touch ID/Face ID data (as that is stored locally on each device).
Maybe, but why. Apple has multiple ways to do this seamlessly. You can restore from an iCloud backup or do the wireless device transfer (that always fails for me with nearly 40k images).