Sadly I have no real idea why this happens. Macs are strongly protective of what software you run and there are a lot of factors at play, including the way GameMaker exports their builds. Here’s my general advice:
- Make sure you remove the app from its
.zipor.dmg. - Move it to
/Applications. - Open it with Right click > Open. Opening things this way apparently flags you’re trusting it.
If you havent’ tried that third point yet, that might be the ticket.