I Could finally connect through Sidecar without cable!!
What I did:
1) On iPad, go to Bluetooth Settings, click on MacBook Pro, and then Forget Device
2) On Macbook, go to Bluetooth Settings and remove the iPad by clicking the x on the right side when you hover over iPad. iPad will disappear from the Devices list, but should shortly reappear with the “Connect” button
3) Restart both devices.
4) On iPad Bluetooth Settings, your MacBook Pro should also now show up under Other Devices. Click on it, and you should get a Connection Request pop up on your MacBook Pro. Click Connect.
5) iPad should now show up available to connect (enter Bluetooth preferences in each device and reconnect).
6) Connect your iPad to your iMac/MBP/MB/etc using a lightning cable
7) Open Finder, click on your iPad's name.
8) Go to 'General'/ 'Options'
9) In Options, activate "Show iPad while connected to WiFi"(translated from my spanish version, I don't know how is written in the english version)
10) Go to "Preferences" / Sidecar: "Connect to" should be available now (disabled previous to this procedure) & Select iPad.
That should do. It did for me.