It needs to be extracted. We used 7z to compress the file, but Winrar also should work.
This is what one of our mac users did when he received that message
Launch the game, close the error and then go to System Preferences -> General, and then at the bottom It should say “Shuggerlain-0.61.1” was blocked from use because it is not from an identified developer." and a button next to it saying "Open Anyway", click that and then another popup will come up confirming it, click the "Open" on that one and then the game will run when you try to open it.
Hope this helps!
This is a copy+paste of a user that made it work on different MacOS:
While this update is downloading I have been doing some thinking and I'm pretty sure its still the "not identified developer" error. And while looking at the macOS version which is Ventura or 13.0, its System Settings panel is different from 12.6 and lower so people who have have 13.0 and up wouldn't have the options that I previously presented.
So I downloaded .61 and opened it and I got the same error as before, so then I looked up how to get passed it on this version of macOS and so all you got to do is "control click > open the application" and then another popup should come up says that you want to bypass apples malware protection and all you got to do it click open. And it worked for me, game ran same as usual, h-scenes worked. Will work with 14.1.1 I believe too.
Basically malware protection/unidentified developer is what is making some Mac user are having problem to start it. You need to bypass this extra protection macOS has by default.