Hi, sorry you are having issues. I received a few of those messages, but unfortunately I think it's due to Apple being overly restrictive as to which software people can install. From what I understand I'd need to "sign" the app with them, but I didn't do it (as it's not free).
Have you tried installing the game through the itch.io app? https://itch.io/app
Also this might help? https://support.apple.com/en-us/HT202491
I don't own a mac myself, so I can't test this unfortunately.