Hey, in case you didn't find an answer on your own:
Right-click the Godot application and click "Open". This will give you the same warning above, but with the option to open the application anyway.
Eventually, all apps will need to be both signed and notarized to run on MacOS. If MacOS is to remain an advertised target and cross-platform is a strong value to the community, it will make sense for the Godot development community to do this for the binary releases. Any developer can do this themselves by building the engine from source.
I'm going to take a moment to speak pragmatically: If you want to create a MacOS game or a cross-platform game where MacOS is a primary target, then at this point in time I highly recommend either Unity or Unreal. We still don't know what the performance for non-Vulkan platforms is going to be after the transition to 4.0.
Best of luck in your endeavors, ironicnet, and I hope you enjoy creating games in whatever tools you ultimately end up using.