For me I clicked Catalina in the app store which took me back to system preferences where it asked me if I wanted to download the installed.
Clicking OK put the installer in Applications.
Supplemental Updates are weird. As they aren’t point updates, Apple doesn’t usually revise the build in the Mac App Store, and there won’t be a stand-alone updated on the support website However, like point updates, they’ll download via Software Update in System Preferences. Not sure why yours won’t download, but I wanted to clarify that.
Be sure to try the simple stuff like rebooting, too.