On a Macbook pro with Retina display you cannot get to native resolution in the system settings.
For example, on Macbook Pro 16 inch, the native resolution is 3072x1920 but the maximum available scaled resolution is 2048x1280. The reason is on the native resolution everything looks very tiny on this small screen.
Of course, this doesn't mean you cannot get to that resolution.

There are few tools on the internet that can achieve this but what I have been using for this is a command line tool called cscreen. It can be downloaded from here: https://www.pyehouse.com/cscreen/

So, without further ado, let's do this:
1. Download cscreenIntel.dmg from the mentioned website. Do not try to start this directly from the graphical interface because it will do nothing. You need to start it from terminal window.
2. Copy the executable to the desired location.
3. Open terminal and navigate to where you have cscreen.
3. If you run csreen without arguments, you will get information about current display settings:

fmbpro:scripts florian$ ./cscreen
DisplayID  Index     Depth     Width     Height  Refresh
7bd7eef9       1        32      2048       1280    60
use -h to display all usage options

4. In my example, with Macbook Pro 2019 16 inch, I would like to reach the native resolution of 3072x1920 so I have to run the command like this: ./cscreen -x 3072 -y 1920
You will not get any output from the command but you will for sure notice the resolution change. Running again the command without arguments will confirm the new resolution.

fmbpro:scripts florian$ ./cscreen -x 3072 -y 1920
fmbpro:scripts florian$ ./cscreen
DisplayID  Index     Depth     Width     Height  Refresh
7bd7eef9       1        32      3072       1920    60
use -h to display all usage options

Enjoy :)

PS: if you want to get back to scaled resolution and you got scared about this tool, just open system preferences and change the resolution from there.