Under macOS Catalina there is currently the problem that the screen brightness automatically jumps to 100% when an external monitor is connected. This problem is caused by a bug in the current macOS Catalina version, 10.15.3. More information and bug reports can be found here:

Apple discussion

Until Apple has fixed the bug, you can help yourself as follows:

When calibrating, please set the brightness using the function keys. You can see the level of brightness in small "blocks" on the monitor. The normal F1 / F2 keys switch a whole "block" up / down, which is quite rough. These "blocks" can then be adjusted in 1/4 steps using Shift + Alt + F1 / F2 keys. So you are able to restore the brightness setting afterwards via the number of "blocks" - you just have to remember and write down the values. Unfortunately, there is no percentage of brightness under macOS.

Please also check macOS Catalina regularly for updates! We also recommend contacting Apple Support and reporting the error.