All the Sessions and Catalogs that I was working on in Capture One 20 have disappeared from the dropdown/recent dialog window now that I've upgraded to Capture One 21. What does it signify?
This happens because the application versions (20 and 21) are seen by macOS as entirely different applications, so they have different lists of recent documents (those are maintained by the operating sytem).
You can open the documents from the main menu File -> Open.
Please note that the Catalogs and Sessions created in the previous versions of Capture One need to be upgraded in order to be used in the latest version of the software. After upgrading Catalogs/Sessions, you won't be able to revert back, so we recommend to make the backups just in case you would want to use those again in the previous versions of Capture One.