Downloaded unsigned executables will not run by default on macOS and the error dialog provides no affordance to override this. You just have to know that if you option-click and select "Open", which is always identical to double-clicking except in this special case, you get a different dialog that allows you to override the block.
I think that counts as a workaround and no longer works on Apple Silicon. But I haven't verified this myself. Would be interesting to hear from someone who knows.
