CMG says they don’t have the 1098 because they sold my loan April 2020, and aren’t required to provide one.Is this true?

It still may be a little early to receive a 1098.  If your loan was sold you will probably receive one from the new lender soon.  If you don't receive one then contact the new lender and make a request.

Keep in mind you cannot claim a mortgage interest deduction unless you itemize your deductions. This requires you to use Form 1040 to file your taxes, and Schedule A to report your itemized expenses. The interest payments and points you pay are combined with all other deductions you claim on Schedule A; the total of which reduces your income that is subject to tax on the second page of your tax return.  If your itemized deductions, including Mortgage Interest and Property Tax do not exceed your standard deduction you will not need to enter this information.  Just file using your Standard Deduction.  

Note: When might a mortgage lender not be obligated to provide Form 1098?

Lenders do not have to provide a Form 1098 if they received less than $600 in interest, mortgage insurance premiums, or points during the year. Additionally, interest received from a corporation, partnership, trust, estate, association, or company (other than a sole proprietor) does not require filing a Form 1098. If you bought a property with owner financing, the seller might not file a Form 1098. Regardless of why you may not have received a Form 1098, you typically can still deduct qualifying mortgage interest.