After you close the warning saying the dmg can’t be opened go to Settings>Privacy & Security. You’ll find it listed there along with a button to open it
Then click once again on Open Anyway
and finally enter your user password, you’ll see this window.
From there you can drag the app to the Applications folder and after opening it for the first time you’ll get to nag screen for it. Head back to Settings>Privacy & Security and you’ll find it in the same place. Click one final time on Open Anyway and the app will work normally.
We are aware of how much of a PITA this is atm and newer macOS versions turn it to 11 cause Apple pretty much forces every dev to get an Apple Developer ID to notarize the app so they mark it as safe and these go away.