Ubuntu flavors dropped support for 20.04 LTS back in 2023-April; so the MATE desktop (and the majority of packages from universe) will not get security updates; as the ESM updates do focus on the packages that larger enterprises use that pay for Pro/ESM contracts.
Ubuntu Desktop packages (GNOME) came in main thus do get more fixes, and your MATE system will benefit from some of those as MATE used the same GTK3 toolkit/libraries as the GNOME system, but you should have noted it was only those that got updates (plus a few used by server apps too)
You read the security notices, and changed the required deb packages to snap package as per the Ubuntu 20.04 LTS ESM Security notices? as for desktop packages, that is how a number of packages get their security fixes (ESM does focus more on server installs for deb).
You may also find many 3rd party apps can no longer be update (esp. desktop apps), as your machine's libraries are just too old; though snap packages will be a workaround for this (less so flatpak; as the flatpak infrastructure won't likely get updates)
If you're using your system offline; there will be no problems, for online though you do need to follow the security notices and make package changes as per notices when ESM started (May 2023) as for some packages the fixes only came via snap
Yes you will be missing security updates; how important they are will depend on what packages you have installed, and how you use your system. The result maybe significant if you use your system online, to minimal risk (if you're careful, don't use the machine for anything important or stick to the packages that are being updated), or none if you use your system offline.
Ubuntu 20.04 LTS doesn't have community support though; support is now only provided by Canonical, though generic GNU/Linux support sites will still be a choice.
Ubuntu 20.04 LTS support has already ended
This is a follow-up to the Extended Support warning sent one month ago to confirm that as of May 29, 2025, Ubuntu 20.04 LTS standard support has ended. No more package updates are planned to be accepted to the primary archive of Ubuntu 20.04 LTS.
Remember that if you can’t upgrade to 22.04 LTS or later immediately, Canonical provides Extended Security Maintenance for Ubuntu 20.04 LTS to users with Ubuntu Pro.
with extended support now coming from the company Canonical. You need to read their notices on what they provide support for,