In macOS 10.15.2 Catalina or newer, Ecamm Live asks for two permissions to use your DSLR as a webcam over USB. Without these permissions, Ecamm Live will not show your DSLR as a camera choice.
When connecting the Canon DSLR for the first time in 10.15.2, the app will show these two prompts. You should press OK for both prompts.
If your DSLR is not showing up in Ecamm Live, you should check to make sure these permissions were properly granted.
To check and fix these permissions at any time:
Open the Security & Privacy section of the System Preferences app.
Pick the Privacy tab.
Look for the the "Photos" section in the left-hand sidebar.
Click the orange padlock to make changes, and enter your Mac's admin password when prompted.
Check the checkbox for Ecamm Live if it's not already checked.
Scroll down to the "Files & Folders" section in the left-hand sidebar.
Scroll down to look for Ecamm Live in the app list.
Check the checkbox for "Removable Volumes" if it's not already checked.
Quit and re-open Ecamm Live.
If you're still having issues getting your DSLR to show up after doing these steps, be sure to check the main article on Canon DSLR support.