Thanks for the report.  If I understand correctly, the issue you are seeing is that, when IDLE is already launched and you double-click on a .py file in the Finder, that .py file does not open in IDLE, even though it will open in IDLE if IDLE is not already launched.  This does seem to be a change in behavior between macOS 10.14 Mojave and 10.15 Catalina. Further investigation is needed.

Of course, launching files in the right application is always somewhat dicey in macOS when there is more than one application claiming an association with a particular file type, like for .py files, so it is always safest to open files from with the app itself, for example, with IDLE's File -> Open menu option.