Due to its release timeframe, your 16 in Mac Book Pro may be running a special build of Catalina 10.15.1, and that may be a factor in your inability to select that specific Oxford Thesaurus. I am running 10.15.1 on older hardware, and have no problem selecting what you cannot. If the following measures have no effect, you may have to wait for the release of Catalina 10.15.2.
Reboot your Mac into Safe Boot mode. You press and hold the shift key from a power on, and release the shift key when the customary boot progress bar appears. Safe Boot is much slower than a normal boot because it is performing several housekeeping functions, and it is not uncommon for the screen to flash, etc. during this process.
Once you have signed into Safe Boot, try selecting the thesaurus again in the Dictionary Preferences. Note if it is selectable, and then perform a normal reboot. Try selecting the thesaurus in the Dictionary again to confirm whether it does or does not select.