It might be related to this problem: https://apple.stackexchange.com/questions/408752/the-message-you-do-not-have-per...
By default, I think there's a security setting on macOS that prevents you from running programs downloaded from the internet, and you have to do a workaround like the one described in the link above.
That said, I think the warning won't show up on the Steam version, because it's distributed through Steam rather than as a standalone zip file. You can try that and see if it works.