Is your Camera on the list of supported camera models for Catalina? See: Digital camera RAW formats supported by iOS 13, iPadOS 13, and macOS Catalina - Apple Support
Photos 5.0 on Catalina is not showing the location for photos on the Places map, if the image files have been imported as referenced files (meaning: not copied into the Photos Library, but referenced in their original location).
Also, for some Canon cameras seems to be a problem with the camera firmware. It is no longer fully compatible with Catalina and needs an update for full compatibility.
macOS 10.15.2 Canon 5D Mark IV connection