Do I have to give my password to Apple Store for data transfer to my new MacBook Air?

I totally get your concern about privacy! You should feel comfortable with who’s handling your data. Maybe you can ask them how they manage your information during the transfer process to ease your worries.

Yes, usually the Apple Store will need your password to perform a data transfer since it's essential for accessing your files and settings. They're helping with the setup, so it's pretty standard for them to ask for that kind of access.