No. That's why I was so confused. It won't let me open it whatsoever. It doesn't even give me any option. :(
I usually have to drag the downloaded app into "Applications," then control+click the icon. It'll say it doesn't trust the origin of the file, but there should be an 'open' option anyways. It might take a couple tries to get it to show, but it's always worked for me so long as it's in "Applications" and not "Downloads." I'm sorry if that still doesn't work for you :(