So my timeline is this:
Got MBP 16' in March with graphics options:
AMD Radeon Pro 5500M 4 GB
Intel UHD Graphics 630 1536 MB
Up until 10.15.5 came out, I had zero problems/crashes and I always have the laptop closed and an external display connected with an official Apple A/V adapter using HDMI. As soon as I installed 10.15.5 the panics started happening.
Reason: (1 monitored services unresponsive): checkin with service: WindowServer returned not alive with context: unresponsive work processor(s): WindowServer main thread 40 seconds since last successful checkin
Literally after the update ended, I didn't touch the laptop for some time, the external monitor went to sleep and the laptop panic'ed and rebooted. I installed apps like Caffeine to prevent the external monitor from going to sleep and managed to continue working.
Some days after this the crashes started happening even when the monitor was not going to sleep. Usually when using apps that put some strain on the video such as video conferencing apps. These crashes started to become more frequent. The display froze, for about 2 minutes, the laptop started getting very warm and the fans would not go faster, then after 2 minutes the fans go into turbo mode for about 1 second and the laptop reboots.
After this I reverted to 10.15.4 and reset SMC, etc, and the panics when the display goes to sleep are gone, but the crashes when I'm using the computer continue. I tried ditching the adapter and using a usb-c displayport cable but the problem remained.
As a final test, I unplugged everything from the laptop and disabled "automatic graphics switching" to force the AMD to be used even with no external display. Sure enough, I was able to reproduce the issue. So it seems not related to an external display, but the AMD card itself (which is always used when an external display is connected).
Sad times.