I already have the wings from Season 17, but did not receive the Bat Pet after completing Chapter 4 of the season journey for Season 20.
Not a bug. Read the season 20 blog on the home page. You need to complete the season journey.
https://eu.diablo3.com/en/blog/23319442/season-20-begins-313-28-02-2020#SeasonCosmetics
We’re continuing to provide new End of Journey rewards as introduced in Season 17, with two new cosmetic rewards for those who complete the entirety of the Season journey. Feast your eyes upon the Teganze Warrior Portrait Frame and Bat pet!
Complete the journey = Guardian, not Chapter IV.