Shortcut keys not working in “New Folder” dialog within Save As dialog is tracked with this issue – https://illustrator.uservoice.com/forums/601447/suggestions/39374122
Overall issue of shortcut keys not working in Save As dialog is fixed in Illustrator version 24.0.1
An error occurred while saving the commentRobyn commented
I'm having the same issue! The Catalina update messed this up in Illustrator, but InDesign and Photoshop work just fine.