Update for Sonoma: I have just run this on my late 2013 27" iMac (OCLP! yeah!) and it has just started up with a game in progress ready to restart..
I am running from an external USB3 SSD and had reinstalled the application afresh from the zip file and had copied over my home directory using Migration Assistant.
Settings has been reorganised, so following the chmod open System Settings (had the name wrong originally!) then click on Privacy and Security and scroll down the right hand panel, the message and button are near the bottom under the Security heading.