I guess you have used the dosdude1 patcher app to install Catalina?
Have the brightness keys worked since you updated to Catalina?
How long ago did you patch your system?
Did you try a reinstall of Catalina?
I put all the info of another macbook on this one via migration assistant, catalina was already installed but the brightness keys did not work before I transferred the data.
migration assistant would not affect a patched install, but probably worthwhile to reload a patched Catalina install.
This should help you - http://dosdude1.com/catalina/
I think that some external displays respond to the brightness controls and some do not. It probably depends on how the display is connected, what software is running on the computer, and what firmware the monitor is using.
I have the same problems with my new Samsung Odyssey G9 monitors. I used a free program (I will post the name when I get to my computer) which allows me to adjust the brightness of both my screens at once, from a pull-down menu. It works amazingly well.