"Trust request error" 0xE8000003 when connecting iPhone to Mac
Firstly, you can try reseting Privacy and Location settings on your iOS device, as this removes the trust file on the iOS device with your Mac (as well as any other Macs/PCs you have trusted to connect to the iOS device). It will affect all your other privacy/location settings as well.
But, once this has been reset, you should be prompted to trust the iOS device when it reconnects to your Mac. Once the two devices have trusted each other, the plist file in the Mac's Lockdown folder should be overwritten with the new trusted plist.
If you really want to remove the lockdown plist manually, I am not too sure how Catalina works with the separate OS system partition, as I am on macOS Mojave. But on macOS Mojave, you need to have SIP disabled and remove the plist through rootless. Only do this if you are comfortable with using rootless. If you are not comfortable using rootless, reseting privacy and location settings on the iOS device should be more than enough.
However, if you decide to use rootless, you really shouldn't remove the entire lockdown folder, but rather the specific plist for the UDID associated with your iOS device.
You can find the UDID of the iOS device (when connected) in macOS's System Information&gt;USB&gt;Serial number. Alternatively, run the  command system_profiler SPUSBDataType and look for the serial number for the iPhone. The iPhone should still show up in System information when it's physically connected via USB, even if you can't access it in Finder.
Once you have found your UDID, note it down (because the serial number doesn't contain a hyphen, but there is one in the UDID's plist filename).
Now you will have to go into rootless, which you can do through terminal using sudo su - command, and navigate to the lockdown directory (on macOS Mojave it's /var/db/lockdown) and list all the files in the directory, and look for the plist with a filename that matches your UDID of your iOS device (again there should be a hyphen in the filename somewhere).
You should then be fine to remove the file (still in rootless) using the rm command, you don't need to use sudo rm in rootless. For me (on Mojave), the command to remove the plist in rootless is rm /var/db/lockdown/UDIDnumber.plist.
When you are finished in rootless, remember to logout by pressing Control+D in terminal. Once again, don't use rootless if you are not comfortable with it. So, be VERY CAREFUL using rootless.
Let me know if this solves your problems. I know there's a few trust issue bugs with iOS devices connecting to some Macs (but not all?) or only when hotspot is turned on. But hopefully this won't be your issue.