As of this time, Hazel is not compatible with Catalina. Catalina introduces a number of changes and bugs which affect Hazel, many of which are still unresolved. It is strongly advised that you do not upgrade to Catalina if Hazel is an important part of your workflow.
Work is currently being done to address many of these issues. If you would like to run the latest beta release, you can find details in the beta forums.