Applies to: Sophos Home for macOS Monterey prior to Sophos Home 10.3.1a1 (click on the link for details)
What's happening:
"Removal failed" message may appear when uninstalling older versions of Sophos Home from macOS Monterey. The reason is that SophosInstaller (installer.app) wasn't given permissions in Full Disk Access, under System Preferences > Security & Privacy > Privacy. 
Fixing failed removal on old versions of Sophos Home
What to do:
BEFORE YOU BEGIN
This guide applies to Sophos Home versions prior to Sophos Home 10.3.1a1
If you are on a current version, use this article: Troubleshooting Removal Issues
1 - Open System Preferences > Security & Privacy
2 - In the "Privacy" section, Scroll down to "Full Disk Access",
3 - Click on the padlock at the bottom left and enter your Mac's username/password to allow changes.
4 - Once at the "Full Disk Access" section, click on the checkbox beside Installer. app/Sophosinstaller.app to ensure it is check-marked
5 -Open Spotlight (command+space ), type Remove Sophos Home and press Enter to uninstall Sophos Home.
6 - If the removal tool is missing, click here to download it, then right-click > Open to run it (failure to follow this step might result in "Apple can't check for malware" message)
7 -Remove the current Mac manually from Sophos Home dashboard if listed under devices
Note: Please restart the device before re-installing Sophos Home
Troubleshoot removal issues on current versions of Sophos Home
If you are on a current version of Sophos Home, use this article: Troubleshooting Removal Issues instead.