Yep security warning.
So don't close the warning, or try to open the file again. Then go to System Preferinces > Security & Privacy > First tab at top, General.
Then near the bottom of the window, "Allow apps downloaded"
click button then enter your password...
Should now open.
@SPFX You have to go to the Security App in Mac Preferences and tell it that it's ok to open/execute
@SPFX
Let me know if that doesn't work !