Resposta curta é Gatekeeper
A mensagem que você está vendo é um aviso do Gatekeeper
O Gatekeeper é um recurso de segurança do OS X que se baseia nas verificações de malware existentes do OS X para ajudar a proteger seu Mac contra malware e aplicativos mal-comportados baixados da Internet.
For apps that are downloaded from places other than the Mac App Store, developers can get a unique Developer ID from Apple and use it to digitally sign their apps.The Developer ID allows Gatekeeper to block apps created by malware developers and verify that apps haven't been tampered with since they were signed. If an app was developed by an unknown developer—one with no Developer ID—or tampered with, Gatekeeper can block the app from being installed.
Fonte: link