EDIT: There's a few different ways Apple complains that you didn't get stuff from the App store. For that message, you may need to load terminal and type:
xattr -d com.apple.quarantine /path/to/app.app
You can read more about it here: https://www.howtogeek.com/803598/app-is-damaged-and-cant-be-opened/
Original:
It's a known problem, but not yours. Simply put, if a piece of software isn't "signed" by a source Apple recognizes, then the software is considered "unsafe." It's not a bad idea, but it's not a guarantee of safety or risk.
You used to have to change something in Settings, but I think now you can right-click on the program and choose "Open." It's the right-click menu that's the key – you'll get a poorly worded warning that you should throw it in the trash. If you trust the app you can ignore it and choose "Open Anyway." It may take a few tries before it lets go and lets you run it. After that it will open normally with double-clicking.
There may be other things, like giving it permission to access your disk. There's also the possibility that a secondary program will need to be started once separately. I don't have the program (I don't code often enough to justify spending money I don't have) so you may need to dig some to get more specific information, but if I know I'll tell you.