I just tested an ex-FAT-formatted micro-SD card on a Mac running Catalina, and Final Cut saw the video files in it just fine. My guess is that this is a permissions issue: you might have accidentally clicked "don't allow" the first time message came up saying that Final Cut wants to access the files on your external micro-SD drive....or maybe the message didn't come up.
To fix this, you'll need to go to System Preferences > Security and Privacy > Privacy and click on the “Files and Folders” option. Make sure all the checkboxes for Final Cut Pro X are ticked: Removable Volumes, Downloads Folder, and Desktop Folder. My guess is your "Removable Volumes" is unchecked. If it isn't checked, click on the padlock at the bottom left of the Security and Privacy window and enter your administrator password to make changes.