Fusion requires additional security permissions from macOS in order to operate properly. This is above and beyond the need to install kernel extensions (in Fuson 11 and earlier) or system extensions (for Fusion 12 and later).
From reviewing a macOS Catalina system with Fusion 11.5 installed, it appears that the Fusion Menu Application included with Fusion is looking to enable access to control System Events. Fusion also needs access to Accessibility, and may need access to the Camera and Microphone.