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!
I can confirm this is still very much an issue in the latest versions of Catalina 10.15.3. The problem with this issue is that it is only very obvious when consistently under heavy loads (aka. large high resolution video like 4K, 6K, 8K encoded in 422HQ or higher). If you are using small files at lower resolutions the problem is less pronounced and will seem to happen out of nowhere, but will mostly work otherwise. That being said I have created sample FCP projects that will consistently and reproducibly crash FCP and disconnect SMB drives. I have called and reported it to Apple and their Final Cut Pro team but they don't seem to acknowledge the issue. In fact, talking to the Final Cut Pro team you'd Apple doesn't even know what a NAS is or that they are even a real thing.
All I can say is if you are experiencing this issue at all call Apple and report it. They don't acknowledge issues unless several people call and report it. The more people report it the more likely Apple may actually do the work to address the issue.