Error handling of Sophos Intercept X on macOS

The window to grant Full Disk Access to Sophos Intercept X doesn't show, in notifications is also nothing from Sophos.

1. Click on the Sophos icon in the menu bar and open the program. 
2. Now click on About in the lower right corner.
   
   
   
   
3. Run the Sophos Diagnostic Tool by clicking on the corresponding entry on the left side.
   
   
   
   
4. In the Sophos Self Help window click on Prerequisites.
   
   
   
   
5. By clicking Allow Full Disk Access you can now reopen the missing Sophos window and continue with the setup of Sophos Intercept X.