In Windows, there are groups like Users, Administrators.
They have built-in permissions that allow them to do stuff around the system.

If I create a new group "newgroup" in linux, does that group any built-in permissions around the system?
Or does it have none unless I give "newgroup" specific permissions?... e.g access to a folder

Nope.

All a group does is allow file access by that group.

SOME utilities use setgid to gain access to certain files for the purpose of establishing file locks for modem access, others will use it to limit access to devices (/dev/sr0 only allows root and processes with group "cdrom" to access it.

I believe sudo uses group definitions to identify the users that are allowed to run some administrative commands that are not available to general users.c (if your distribution uses sudo, then there should be a /etc/sudo.conf file or entries in a /etc/sudo.conf.d directory that define the groups, commands available to users in that group. This has been where the "wheel" group gets used for identifying "administrator" users.

This has been the traditional access control. Some distributions (RH derivatives) will also add a security label using SELinux or will use ACLs for the same purpose.