You get to transfer your choices into the new game.
Wolfenstein: The New Order did something unusual for a shooter, in that it made players make a relatively major choice early on in the game. What choice you made then created one of two alternate timelines, with minor variations in how story beats played out, or how levels were laid out.
Apparently, those choices will carry over into this year’s upcoming Wolfenstein: The New Colossus. Bethesda and Machine Games have confirmed that you will get a choice at the beginning of the game to pick which of the two timelines you originally selected in The New Order, and your story in The New Colossus will continue on from there.
Presumably, there is no save file transfer feature because The New Order was a cross gen game- so for many, being able to carry their saves and choices over would simply not be an option. Wolfenstein: The New Colossus is due out on PS4, Xbox One, and PC on October 27 this year.