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Hi, you might have already solved this, but in case you haven't (or for other people who come across this): if you right-click (or ctr + click) on the game icon and select 'Open' an "unknown developer" warning box will come up again but this time with the option to 'Open' it anyway. After the initial launch it should allow you to just double-click/tap it to open in the future.

(Of course this isn't recommended for programs you're not sure of though)