Someone can correct me if I'm wrong, but I believe that message pops up any time you try to open an app that hasn't been specifically approved by Apple. If you go into "Privacy and Security" in your Mac settings and scroll down to the "Security" section, you should see a field that says "Allow applications from," which I'm assuming is set to "App Store & Known Developers." That means any app that isn't sold in the App Store and isn't from a "known" developer to Apple — which is the case for the vast majority of indie apps like this one — is blocked by your security settings, prompting the message you saw.
I got the same message when I first installed it, and yeah, the wording makes it sound really ominous. But I feel pretty confident there's no malware in it, particularly now that I've been using it for several days without any issue, so I'm not worried about it. You can override the Apple message by going to the "Security" section of your Mac settings that I mentioned above. If you've recently tried to open the app, you should see it listed there, with a button that says "Open Anyway." Click that and you're good to go.
If you still don't feel comfortable opening the app, that's obviously fine, and I'm not pushing you to do anything you feel unsafe doing. That said, this isn't really something the developer can do anything about (as far as I'm aware), so I think your options here are 1) to trust that the app doesn't have malware, or 2) to opt not to use it.