MBR to GPT conversion with Paragon Hard Disk Manager

I spent some time trying to get it done but the HDM software always asked to restart the computer to finish the installation and that's the "Some components could not be installed" loop I got into.

Is that macOS problem or what? I thought correct Security & Privacy settings should give the installer all access but nope. Is this seemingly impossible task even possible with a Mac?

With a PC MBR to GPT took about a minute for my neighbor's 12 years old son. Now I have a real 3TB HD instead of 800GB after the partition scheme was removed.