Where does Microsoft Word store autorecovered documents in Catalina?
You will get the AutoRecovery folder under the Library of your user folder. 


The library under your user folder is normally hidden. So press command+shift+. to see all the hidden folder. 


After this, go to 

/Macintosh HD/Users/xxx/Library/Containers/com.microsoft.Word/Data/Library/Preferences/AutoRecovery


Here xxx is your username 

You will see your recovered files over there.