This worked:
The same happened to me with Catalina 10.15.2. It is caused by
System Preferences … → Security & Privacy
where RawTherapee has no rights to access “Files and Folders”.
Other programs trigger a popup dialog asking for confirmation upon first usage.
Here is a workaround: open Finder, navigate to Applications, right click (two fingers) on RawTherapee and select “Show Package Contents”. Double click on
Contents/MacOS/rawtherapee
Then a terminal window will open, start RT and appropriately ask for permissions.
Just to be warned: my second caveat was that RT regularly crashed at startup. In case this happens to you as well: keep trying until RT runs. RT 5.7 works reliably otherwise. The problem is related to GUI updates to show the progress during load of previews. It is macOS (Catalina?) specific and shall be fixed in the upcoming RT 5.8.