This seems to be a known limitation with the Privilege Management for Mac client where it is unable to intercept prompts from the Boot Camp utility. This can be reproduced through all client releases and the following macOS releases.
macOS 10.15 Catalina
macOS 10.14 Mojave
macOS 10.13 High Sierra
We would expect that the PMfM rules targeting the Boot Camp Assistant should intercept the request for admin credentials and allow the software to function as if an Admin is logged on the system. Currently we get an admin credential prompt instead.