Shared iCloud Folder
Usually this happens because your Mac is not fully updated. Ensure that you have the latest updates installed. As far as I recall, this particular feature requires 10.15.4, but upgrade to the latest 10.15.7 and check again.
By design, shared folders appear in Finder, so some delay or data corruption is usually the cause of not seeing the same folder structure in Finder as you see in the iCloud files web app.