Hmm interesting, I think it worked for me with the VST too. I'll have to look into this a bit. Are you sure you don't get the "open anyway" prompt after trying to load the VST?
As a workaround, you can try opening terminal and typing: "sudo spctl --master-disable", which will unlock and select the "Anywhere" checkbox in the MacOS security settings, which should disable that security altogether. Not a great solution I know (actually bad security advice), but it might help.