For some third party apps which include a driver component it is necessary to click on the "Allow" button a couple of times. You may even need to reboot the laptop and click the "Allow" button again within the Security pane of System Preferences. Some drivers may just be a bit more difficult to install. I didn't think the driver had been installed or permitted to run, but the app worked perfectly even though I did not expect it to do so since I didn't think it had been approved. Try running the app after a reboot just to be sure.
I also know that Apple has been changing the rules for what drivers are allowed to be installed. I don't recall the details though.
If you have a problem installing a third party app, then you should contact the developer to ask for assistance or to report a possible bug. You should never have to disable macOS system security to run third party software. Bad things can happen to macOS if you do even if doesn't malware. A Google Chrome update last year prevented Macs with SIP disabled from booting (innocent oversight from a developer). If the developer is unable or refuses to make the app work, then you should look for another app.
I've also encountered an issue on one Mac where no matter what I tried GateKeeper would not add a third party app to the Allow list even using the command line and deleting configuration files. I had to perform a clean install of macOS where the app was then able to be installed properly.
Are you using any anti-virus apps, cleaning apps, or third party security apps that may be interfering?
Try installing the app while booted into Safe Mode.
