Found a solution. The Sennheiser cable is proprietary (has different pin setup to your usual mic cable) so you need to get an adapter before connecting it to the USB Type-C adapter.

Pictured below is the adapter that I purchased and connected to the Sennheiser cable and then to the USB Type-C adapter; everything works fine now:

Working Sennheiser lav mic with Note 20 Ultra

[Edit: OUT OF STOCK LINK] Adaptor: SC4 TRS to TRRS Mic Adapter, Ancable 3.5mm TRS Female to TRRS Male Short Converter Connector Compatible with iPhone, Android Smartphone, Tablets, Rode SC4 Cable, Rode VideoMic, VideoMic Go, BOYA Mic

[Edit: NEW PRODUCT LINK] https://www.amazon.com/dp/B01N9CJDVE/