First, run the demo and receive the error again. Then, go to your settings and under "Privacy & Security" there should be something like 'Date Time Demo' was blocked to protect your Mac. There should be a button next to it that says 'Open Anyway' and Mac should run the app from now on without any issues.
More info: https://support.apple.com/en-us/102445
However, if you are still unsure about running the individual app file, you can always play the game through Steam or Itch.io Launcher, and Mac will not block those connections.
Apple will always block apps from developers they do not have in their database. A lot of smaller game creators don't really upload their stuff to Apple's app stores, so that's probably why Apple blocks a lot of different games you are trying to play.