Update:
File Sharing BROKEN in macOS 10.15.7 (19H1922) Catalina - UPDATE = FILE SHARING IS FROZEN-LOCKED - YOU CANNOT TURN IT ON OR OFF AFTER SUCH UPDATE!!!
SERIOUS MACOS CATALINA BUG CONFIRMED:
The bug is even more shocking. This has been confirmed erasing an external SSD, installing Catalina from scratch which generates macOS 10.15.7 (19H15) and Safari (File Sharing works OK then), and then installing the macOS Catalina Security Update 2022-004 10.15.7, which updates to macOS 10.15.7 (19H1922) (BREAKS File Sharing). The testing disk did NOT contain any third party software or user data. Just macOS installed from scratch on a previously deleted external SSD. Therefore, the conclusion below is 100% consistent.
File sharing worked as expected with "Apple - System Preferences - Sharing - File Sharing" selected in macOS 10.15.7 (19H15). It was possible to turn it on and off, as expected. It was left selected and then such external booting SSD was updated to macOS 10.15.7 (19H1922). As expected, File Sharing was selected then, but I CANNOT UNCHECK-UNSELECT it. Clicking on File Sharing does not uncheck it.
CONCLUSION: macOS Catalina Security Update 2022-004 10.15.7 BREAKS File Sharing, freezing-LOCKING it. If it was not selected (turned off), it cannot be selected. If it was selected, it cannot be turned off.
I hope that Apple fixes this serious bug, because that will probably be the latest Catalina update and there are many users with Mac models that cannot be further upgraded to Big Sur, Monterey, etc.