I recently had to fix this issue for another user, so I know what to do.
It does not have the proper permission to run.
So you'll have to give it permission with chmod in the terminal like so
chmod a+x [GAME]/Contents/MacOS/*
however, the person which also had this issue mentioned that this works:
chmod a+x DOGMA/MacOS.app/0.2+.app/Contents/MacOS/*
And then disable the gatekeeper to open the app.
The reason that this happens is because archiving it in a .rar or any other archive formats removes the permissions from the .app file.
This issue is already known by Dia, but I'm not sure if he'll be able to fix it