Or if you're really paranoid, download Ren'Py, which comes already signed and notarized, then drop the entire game (the .app) into the top level of the Ren'Py SDK directory alongside the demos, run the Ren'Py app, and choose the game from the menu. No security settings changes needed.
It helps to use a Ren'Py SDK that's close to the right version. For games built on the 7.x engine, sticking to the latest 7.x release is usually adequate. For games built on the 8.x engine, use the latest 8.x release.