In Catalina, you have to give apps permission to access files on your desktop. This is done normally through a popup when you first try to access files there. If you by accident denied that acces you can get the observed behavior. In the system preferences, go to security and privacy. Hit the privacy tab and scroll down to FIles and Folders. Now make sure to enable desktop access for Lightroom Classic. You can also give it full disk access to avoid any more issues. There might be another problem but this one is typical for Catalina installations.