I didn't find this so I am posting what I found. Mac OS Catalina upgrade. Trying to open for first time after the upgrade. It said: "Parallels Desktop.app" is trying to access your Desktop. Cancel/Allow. But every time I moused over the dialog it would grey-out. A Chat SUpport person asked me something which was confusing but I figured out meant Open System Preferences and Unlock changes. I went into Systems Preferences .. Security & Privacy .. Files & Folders .. I unlocked the Lock Icon, which I keep locked down. After unlocking the System Preferences pages for Security & Privacy/Files and Folders. (which was not open) the dialog was still greyed out. However, I hit Escape and it reappeared several tines and eventually was not greyed-out. I clicked OK. Then I got further dialog from Parallels about 3 more access folders. Some were greyed-out but hitting Escape eventually caused them to be ok. Parallels then started. I think anyone with Catalina who keeps Settings locked will see this. Greyed-out vs Grayed-out, either spelling.