Same issue on macOS 10.15.4, on previous version 10.15.3 in-app purchases load as expected. SKProductsRequestDelegate methods not called.
Alnik
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Workaround for this. Create new NetworkExtension target for macOS. In build phases of main iOS app target, in "Embed App Extension" and "Dependencies" add and choose this new NetworkExtension target for platform macOS. And all works.