I had the same problem as the OP. Jupyter Server would not start after
install of the .app.dmg package.
I can report success launching Sage from the Applications icon after the
following steps:
1) Grant Full Disk Access in System Preferences->Security->Privacy (as
suggested previously)
2) Launch Sage from the command line in the executable's installed
directory. In a terminal window:
cd /Applications/SageMath-9.0.app
./sage -n
3) The executable should "patch" or rewrite all of the required paths to
match their actual locations in your particular Catalina install.
After that, it should open a Jupyter tab in Safari.
4) When you see the Jupyter tab in Safari:
click the Quit button. This will stop the Jupyter Server, but that's
ok.
5) Launch Sage using Applications->SageMath-9.0.
All should be well at this point, but your actual mileage may vary. Hope
this helps.
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