I found it out by plugging in an external monitor and Night Shift not working with it. I could believe it is specific to the monitor you have, but judging by Apple support I'm not alone:
https://discussions.apple.com/thread/251249337
The answer implies that it only works on about four different monitors. I doubt that's true but it seems like a shot in the dark to know which it does and does not work with.
EDIT: just tried it again with Catalina. Nope.