My normal setup is an iMac Pro connected to a Mac Mini server via 10GbE SMB. I tried updating the iMac Pro to Catalina 10.15.2, but while it initially seemed fine, it froze up FCP after playing a clip for only a few seconds. This locked up Finder too, so perhaps it disconnected like you said.
I didn't have much time to troubleshoot so I decided to downgrade back to Mojave. I thought maaaybe updating the Mini Server to Catalina would help, but I have to keep it on Mojave for the moment.
Anyway sorry I don't have a solution, but that's my experience!
I have a Synology NAS connected via 10GbE where I keep old projects (current ones I work off SSD). Opened up a few and played around with... had FCPX crash once but no disconnections of the server. Didn't do much heavy/prolonged work though.
Enable AFP and disable smb in share
Next assign direct ip to server not dhcp (example 10.0.0.100 255.255.255.0 for server
10.0.0.101 for edit station 1 etc ...
Use ip different from your internet network (thru wifi)
Connect to server using command + K
This is a known issue for people working with FCP X and Catalina over an SMB network. It only occurs under heavy workloads. We have been working with Apple to find a solution, and most NAS vendors have now released a fix. Happy to hear that the newest OS update also helps.
Looks like I spoke too soon. There are still problems on 10.15.3 for me. The SMB connection would seemingly drop while using FCPX, though it didn't cause a full Finder/system freeze thankfully. Still, back to Mojave for now!