Globally Disable Notifications on Lock Screen

A simple solution (to cancel one by one more complicated):

A new option "When the screen is locked" has been added under notifications -> do not disturb section in Catalina OS as below:

I expect you are aware of all the interfaces presented, here:

https://support.apple.com/en-us/HT204079

Specifically:

Such as it is, I can appreciate that it can be cumbersome to go through each app one-by-one to uncheck that box (and there may be an unknown on whether every every app will even conform to the spec).

However, at the present time, Apple has not offered a global setting, nor an easy way to multi-select applications to toggle the setting.

So to get any traction toward your request, the best avenue really is to go to the following link and submit your request for enhancement:

https://apple.com/feedback