I tried using the cursor to switch the flags on top right of the screen, and also tried Caps Lock. Sometimes they work, sometimes not - the input sticks to English.
Currently my solution is to switch to a different application and then switch back, and then it works. For example, if I am writing something in WeChat (or facebook messenger), and it sticks to English; I will open MS Word or mac Notes, and the language switch will work there, and then I switch back to WeChat (or facebook messenger), and I can switch the language. But this is really a lot of hassle. I really want to switch by using "Command + Space". I have used this shortcut for many years without any problem until I recently upgraded to Catalina. Not sure if this is related to the OS upgrade.
Thank you very much Tom!