Solved. I am using SIP. A long ago I fixed the issue under High Sierra.
But it looks like the AFPS creates slightly different disk reports.
The solutions:
1. Turn off SIP
2. Regenerate the BootCamp VM
3. Edit the VMDK file according to this KB:
https://kb.vmware.com/s/article/2151780
4. Turn on SIP
A complication for me is that my BootCamp is on its own disk. Since the /dev/diskn changes with every boot, I have a startup daemon that fixes the file.
--> Catalina still has a problem with full disk access on external drives with Full Disk Permissions for VMWare enable.
--> VMware uses a PrivilegedHelperTool. It is copied form the bundle on launching the app and removed after - really funky. It cannot be added to the Privacy Full Disk permissions. This is likely the issue.
This works when BootCamp is not the whole disk.