I suspect it’s a permissions-related icon. In Catalina (and maybe in Mojave as well, I can’t remember) Final Cut needs permission to access your downloads folder. If you haven’t given it permission there won’t be anything visible when you open the folder from the Import window.
How do you give it permission? I’m not sure; all I know is that I got a dialog box asking me to give Final Cut Pro X access to my downloads folder and I gave it. Once I did that I could see everything in the downloads folder.