Is this on mobile?
Nope, Circles is not on mobile. From the start, it was developed around mouse controls, so the best experience is to be had on PC/Mac. That being said, mobile is still an interesting option in the future. But currently all efforts are being directed at the PC version.

Can I upload a let's play on Youtube?

Yes you can, but keep your let's play limited to world 1 and 2. Keep some mystery for the rest.

On opening Circles.exe I get the message "Windows protected your PC"

Click "More info" then "Run anyway" to continue and play the game.

I can't unzip the game on mac

This could be a problem if you use the Archive Utility. Try Unarchiver and see if that does the job. If all else fails, you can download the game using the Steam key. You can claim this in the download section.

I get the message "Circles can't be opened because it's from an unidentified developer" on mac

To open the game without this message, right click the app, then choose "Open".