No, if the new phone's OS is newer than the backup's, you'll still be fine. It's only if the phone's OS is older than the backup's that there are issues.
The answer to your original question, "Will a iCloud backup from an Xs on 14.2 work on a new 12 pro updated to 14.2.1?" is yes.
As long as the backup is from a version that is equal to or lower than the version that is on the device you want to use that backup on, it should be fine. In this case the backup is from 14.2, so it should be fine on 14.2 or anything above that.