I'm a return player here and I've been trying to run this app but for some reason, mac kept telling me since it's a 3rd party software and it's not from App store, I am not able to launch this app.
Two finger click on the app and select the open option in the popup menu. A dialogue box will appear that's similar to the one you saw before but it will have something at the bottom about "open anyway." Click that, and the app will open. Once you've done this once it should save the setting and you will be able to double click to open in the future. Also google is your friend for questions like this.