The game should be signed, this looks like a Game Maker issue. I'll have a fixed version tomorrow but you can follow these steps and it should work.
a. Extract the .zip to get the app
b. Place the app in a folder by itself (unless you want to include other files/documentation)
c. Open Disk Utility, and do File -> New Image -> New Image From Folder (or cmd+shift+N), and choose that folder.
d. Run the .dmg file to play.