I can confirm that WD Security is installable AND does work on MacOS Catalina on MacBook Pro (late 2014) models!
Here’s a link to the WD security download for Mac: https://support.wdc.com/downloads.aspx?p=172#ctl00_WD_rpSoftwareMac_ctl03_lbtnExpand
Install WD security and run the app. When prompted, plugin your Passport. It will then prompt you to enter your Passport password. From there, you’ll be greeted with options to update your security settings which include options to (1) remove your password, (2) set a new password, (3) add auto-unlock to your computer, and a few other items.
Before updating your security settings, you’ll need to enter your password one more time before saving.
I just did this and my passport works as expected on Catalina!
Hopefully this saves a lot of us who’ve upgraded from some major headaches!