I tried tethering with CC2019 and my Sony A7III, though after trying many times, apparently the camera does not work with Lightroom for tethering. Does setting up a tethering session create a blank folder somewhere? If so, where would I find these empty folders?
See here for camera supported for tether. Sony in not included. Just use the Sony software that comes with the camera and see if it supports tethering. If it does you can set up a "watched folder" in Lightroom to automatically bring in the photos.