Catalina Safari "Proxy Automatic Configuration" (PAC) is not used
Here's what I learned:

Safari requires SOCKS localhost... not SOCK5 localhost..., but Chrome requires SOCKS5 localhost... So my pac file returns 'SOCKS5 localhost:12345;SOCKS localhost:12345'
Apps now being very sandboxed, you cannot use file:///Some/Path/proxy.pac that will be readable by all apps requiring the proxy config. World readable areas are now read-only in macOS.
If your pac file is not sensitive, save yourself the hassle of running an http server and host your file on some server somewhere. I used a gist.github.com file. Make sure you make it public and use the &quot;raw&quot; link to copy/paste into macOS' &quot;Proxy Automatic configuration&quot; URL.