Yes, Cubase 9.5 isn’t supported running on Catalina. You can run it, but anytime you try to import anything through the usual Cubase file system you’ll just see the beach ball, and then Cubase will crash.
I ran 9.5 on Catalina for a few weeks after mistakenly upgrading Mac OS and it is possible as a temporary measure though. It’s far from ideal (and you may experience problems that I didn’t, depending on how you are using Cubase) but this might get you through a couple of weeks before you decide whether to upgrade to Cubase 10.x or downgrade Mac OS X (the only two options I’m aware of that will actually fix the problem):
Double-click project files in the Finder to open them (don’t open Cubase then click File>Open as that will result in a crash) - items don’t end up in the Recent list in the Cubase Start screen
If you need to import an audio file, locate the file in a finder window, then drag into the arrange page
You might find other elements that you can locate in the finder and drag into Cubase - I only stuck with this workaround for the time I needed while I was finishing a particular project, but the basic trick is don’t ask Cubase to find anything on your hard drive - find it yourself and try dragging it in.