I don't think that the case is in 10.15.3.update, because on my system I had AutoCAD installed on 10.15.2 and after I updated to 10.15.3 everything works fine.
I see you have Danish system language on your Mac, but I have English language.

There could be a problem with permissions inside your Home folder. Can you tell the name of your Home folder?
And you can try this:
- create new admin account on your Mac (System Preferences -> Users & Groups pane), use simple name for it , such as number combination.
- login to this new account and try to install AutoCAD from this account.

Does the installation fails?