Same problem. I saw no option for voice memos when using the new Finder synch (MacOS 10.15.2 and iOS 13.3). I have over 500 voice memos, so one by one is not possible.
I managed to back them all up on iTunes on my old Mac (MacOS 10.13.2 High Sierra), luckily forcing the machine to start a new iTunes library, and finding the voice memos tick box there, and letting it go, after turning off Apple Music on the phone. As a new library, the library just had the voice memos. They come through as a folder full of .m4a files deep in <user>/music/Voice Memos/Offload VoiceMemos/iTunes Media/Voice Memos. Of course I copied this folder somewhere else for backup, happily having my memos safe (including those I recently made). The item count was the same as showed up in iTunes.
iOS said I had 6 GB of voice memos including the app, but the target folder ended up with just 3GB.
When I dismounted and disconnected the phone, the voice memos still played in iTunes on the old machine, so they are still there.
Now my quandary is: how to get space on my phone by deleting them without deleting the app, and how to get future voice memos off. I am still with you all on this need. I for one am happy that the conduits are in Finder: that makes much more sense. Voice memos should have their own category, as do podcasts, etc.
Have any of you tried turning on iCloud for Voice Memos? Perhaps that is the way Apple expects us to get them across...