Help!!! Unable to transfer files from iPhone to MacOS Catalina from Finder

I recently upgraded to Catalina. My iPhone 11 Pro Max is connected to my MacBook pro via USB. I pull up Finder, and select "Files" from the iPhone tab and go to the DJI GO app folder, and drag the shared files folder to my desktop. Upon dropping the file to the desktop - it stays for 1 second, and vanishes.

Am I missing a step? How does this work?

I need to figure this out quick, because I have to unload all those DJI videos to free up space on my phone for another video shoot, very soon!!!!

Software & Hardware:

Latest version of iOS 13

Latest Version of Catalina

iPhone 11 Pro Max

Late 2013 15" Macbook Pro w/ Retina Display