I've had this problem with a few of my visual novels. Im not sure if I remember correctly but try this: hold the command button (next to spacebar) whilst right-clicking with a mouse onto the game. That should open up a list and at the very top, it should give the option "open". I think it'll ask you something about giving permission or so, so click yes and then you should be good to go and able to play the game.
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I think it doesnt matter but just to be safe take the left one! also, I downloaded a vn yesterday so heres a little more detailed and refined instruction: 1. command + right-click on the mouse onto the vn icon, press open, then there's a pop-up where you press open again and then there should be smth about permission. Hope you have fun playing !!!