It is trying to install it. Should I let it happen, as I still do not see the Catalina app in Applications.
After downloading Catalina, the installer launches automatically, initially showing a title screen the name and a big icon/picture of the OS and a Continue button. At that point, the "Install macOS Catalina" application will be sitting in your Applications folder.
If you proceed (by clicking Continue), go through the next couple of pages, and tell it to install, then Catalina will start to install on your main drive (replacing your existing operating system with a new copy). If you let it get that far, the installer is deleted automatically (if it is run from the Applications folder, which is the normal case when it has just been downloaded).
At the page with the Continue button (or either of the next two) you can quit the installer (Command-Q) and the "Install macOS Catalina" application will still be in your Applications folder so you can copy or move it, or use it to create a VM. (If you want to move it, hold down the Command key while dragging, and you will asked to authenticate as an administrator.)
The same pattern applies to other macOS installers obtained from App Store. The automatic launch only happens if you download the installer for the major version you are already running or newer; older major versions (such as Mojave if you are running Catalina) won't launch automatically because they can't run in a later version of macOS.
effectively I have a mackbook pro 19 and am new to macOS
One of my Macs is a late 2019 16-inch MacBook Pro, which can only run Catalina. Running through the process myself, I was able to download the Catalina installer and use it to create a VM using the following detailed procedure.
Get the Catalina installer
1. Run App Store (e.g. via the Apple menu).
2. In the search field (top left corner), type Catalina and press return.
3. "macOS Catalina" shows up as the first search result. Click the View button for that item.
4. Click the Get button on the listing for macOS Catalina. (Note: you do not need to be signed in with your Apple ID.)
5. This switches to System Preferences, which asks if you are sure you want to download macOS Catalina. Click Download.
6. Wait for the download to complete.
7. When the download has finished, the Catalina installer opens automatically, showing the initial title screen, with a "Continue" button. Do NOT click that button. Instead, quit from the installer (Command-Q).
8. Go to your Applications folder. You will find an application there called "Install macOS Catalina" (with a .app extension if you have configured Finder to show all filename extensions). It should be a little over 8 GB.
As a side effect of downloading and running the Catalina installer, the system has probably mounted a disk image inside the Catalina installer. You have to unmount it before VMware Fusion can use the installer to create a VM.
9. Run Disk Utility (in Utilities under Applications).
10. If you see an "Install ESD" disk image, eject it.
11. Quit Disk Utility.
Now you can create the Catalina virtual machine.
12. Launch VMware Fusion.
13. Make sure all of Catalina's security features are set up to allow VMware Fusion to work (in System Preferences): system extension unblocked, accessibility enabled, may need access to the Documents folder, depending on where VMware Fusion is saving your virtual machines. You should get prompts for these the first time you run VMware Fusion after installing it in Catalina.
14. Drag the "Install macOS Catalina" application onto the VMware Fusion icon in the dock (or use the "+" button to create a new virtual machine, and drag the "Install macOS Catalina" application to that window.
15. Choose the settings you want, then create the VM.
16. After copying the install medium (this step fails if you didn't eject the disk image in step 10), the VM should start up and run the recovery volume, initially prompting you for a language. Then you can choose to install macOS Catalina.
After going through the above sequence, waiting for install, and initial setup, I had a working Catalina system.
Inside the VM I was then able to download the Mojave installer, starting from the link on How to upgrade to macOS Mojave - Apple Support then downloading Mojave in a similar way to steps 4-6 and 8 above (no step 7 because it doesn't launch automatically, also don't need steps 9 to 11 because the disk image issue only applies to Catalina), copied the Mojave installer to the host and did steps 14-16 (but didn't bother going ahead with the OS install as I already have a Mojave VM).
