Is there any error messages when trying to open the app? Or just literally nothing happens?
The security and privacy part only works if you cant open the app due to it saying its an app by an unidentified developer.
What hardware are you using? I was only able to test on a 2011 Macbook pro as that is all I have available to me.
Otherwise it could be many things, possibly a corrupted download? The initial download should be 51mb so if its any smaller than that, that might be the case.