1Does the VCenter this cluster is connected to, need to be a separate VCenter, dedicated to Horizon and the Cluster?

It doesn't have to be a separate vcenter but it is a best practice. Horizon wil create a lot of noise in the vCenter while it's creating/destroying/cloning all the time.

2 If so, Does that VCenter need to be running on that cluster or can it actually reside on my normal Server Cluster which is a traditional build HPE server cluster?

vCenter can run in another cluster with your other servers.

3 Are there any pre-built server OVFs/Appliances that can be downloaded for all the individual pieces of Horizon? Do I need to hand build the servers? I can't seem to find any. Similiar to VCenter    Appliance.

Horizon Connection and composer server have to be installed on a Windows server. You will also need an SQL server for your event database or composer database if you are planning to use Linked Clones.

4 Is Windows Server 2019 compatible for those individual server pieces?

Windows Server 2019 is supported with Horizon Connection Server 7.8 and newer.

5 Does anyone know of a good step by step guide to installing and deploying Horizon?

Carl Stalhood describes on his website how to setup Horizon step by step. https://www.carlstalhood.com/vmware-horizon-7-connection-server/