That warning is just a standard gatekeeper feature in macOS designed to prevent users from accidentally running malicious files downloaded from random internet sources. If you know that the file is safe and comes from a reputable company, you can easily bypass it. Instead of double-clicking the file, you should right-click it and select Open from the context menu, then confirm your choice in the popup window. If you want to get a clean and fully verified installation package that runs smoothly on Apple systems, you can check out the guide on how
to install vpn on your mac safely. Once you follow the steps, the client will integrate perfectly into your system menu bar. It is completely optimized for macOS and does not conflict with any native security settings. Just make sure to grant it the necessary network permissions in your System Settings when prompted during the initial launch, and you will have a perfectly secure connection without using the glitchy App Store.