It's insanity that after 2 Catalina updates this glaring problem is still not solved. That being said, here is a workaround to restore functionality as expected in prior version of Mac OS:
1) Open System Preferences
2) Open Printers & Scanners
3) Under the list of printers on the left, click the + symbol to add a printer
4) Click the IP tab at the top left
5) Fill in the window with these value:
Address: 127.0.0.1
Protocol: Select "AirPrint" from the dropdown menu
Queue: Leave blank
Name: Choose a name of your choice. I recommend "PDF Printer"
Location: Leave blank
Use: Select "AirPrint" from the dropdown menu
6) You will get a pop up saying "Unable to verify printer on your network. Would you still like to create the printer?" Click Continue
7) Open the file(s) in Preview that you wish to save as a PDF.
8) Click File, Print, then select the printer you just added ("PDF Printer"), then select Save As PDF
TIP: I have made PDF Printer my default printer to save having to select it each time. I print to PDF much more frequently than I actually print.
Ridiculous that we have to go through all of this to maintain a basic function of Preview, but this works.