On page 14 in the VE-20's Owner's Manual within in the "Using the HARMONY PEDAL to turn Effects other than Harmony On/Off" section, "CONTROL PEDAL" is listed as a parameter that can be selected using the SOUND Knob.
"CONTROL PEDAL" is a typo in the manual, and the parameter is shown as "HARMONY PEDAL" within the VE-20's Edit menu. When assigning the Harmony Pedal to turn on/off a different effect, look for "HARMONY PEDAL" in the VE-20's Edit menu.
After you've decided what effect will be controlled by the HARMONY PEDAL, be sure to write the new setting to a User Sound location if you want to keep it. (See the steps on page 15 for details on how to save a User Sound).