@atn - see
viewtopic.php?p=249391#p249391 and/or the other posts in that thread about running KataGo first in a console so that you can see what's going on, and/or if the initial tuning process is successfully starting to run.
@wineandgolover - Cool, presumably you followed the instructions here?
https://github.com/lightvector/KataGo#compiling
In those same instructions, you'll see some examples of how you can use the subcommands on the command line, including the arguments you need to pass to them (the neural net model file, configs, etc). The subcommand that runs a GTP engine is the one you will need to get Lizzie to use. Lizzie should have a place in its menus where you can specify a command line that it should use to run an engine. Mind you, Lizzie will probably run the command from Lizzie's directory, so you will need to either specify paths to the executable, model files and configs relative to Lizzie's directory, or copy all those things to Lizzie's directory.
See also the same thing I replied to atn above about as well - KataGo will need to do some tuning at the start, and Lizzie by default will confusingly hide all messages including possible error messages from you. You should also open up the config yourself in a text file and read the notes about performance at the top - feel free to experiment with the config settings to find the best performance on your computer. If you compiled from the tip of master on GitHub (rather than the latest official release, which was older), the commandline "benchmark" subcommand can also benchmark KataGo for you with different numbers of threads for a particular config.
