Since I use Catalina my Mail notification sounds don't work properly. They sound minutes or even hours after the new mail arrives. Sometimes the sound rings at the moment I switch to an open window in Safari. Or back to Mail coming from Safari. The issue appeared with the first release of Catalina, but is still there after several updates and a complete re-install (from the internet).
I'm on Catalina 10.15.5 on a MacBook Pro 13" late 2013. I just have one Mail account active.