I have a Macbook Pro (15 inch, late 2019) running Mojave 10.14.6. I'm running Photoshop 2020, version 21.0.1 (but I also saw this problem in v21.0.0).
When I choose File > Import from iPhone or iPad, I don't see any options to import. I'm on a WiFi with several of my iDevices nearby and on the same WiFi network. I've also tried this on a different WiFi network with the same results.
I've seen this question asked in the Community forums, and see that from someone who has it working, I should see a list of my devices and then further options for import:
https://community.adobe.com/t5/Photoshop/MacOS-Photoshop-2020-File-gt-quot-Import-from-iPhone-or-iPa...
Is there some sort of device setup required? Some setting that I haven't activated?