Transfer 401k and espp shares

What do you mean transfer ESPP? Both companies would have different plan. You can rollover your 401k, call your provider. There is something called Google if you don’t you.

Stays in your Fidelity account. At Amazon I also had the option of using Fidelity (for my RSUs), so I’ll just keep the MSFT stock in there. You could xfer/sell your stocks through Fidelity.