So I just upgraded to Catalina and I first installed R 3.6.1. Next I installed all packages required to run rstan, including Rcpp. I did so using the binary packages. Then I tried the exception Rcpp example you shared, @bgoodri. It did fail as it showed an “unkown exception”. Then I also tried to get rstan to sample the mvn example - it failed with very strange errors. However, I figured that installing everything from source could help here… and it does!
So I reinstalled a fresh R and installed all packages from source instead of using the binary packages. Now the example with the exception works just fine and the mvn_orange example also just samples fine. I am using the vanilla clang++ of the system.
In short - I don’t think that we need to do anything for Catalina. Users just need to install from source their R packages. That’s not so convenient, but likely something which we don’t have in our hands… if I should try another model, let me know (I just took 8schools which works just fine as well)