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Are you attempting to run an app from an "Unidentified Developer"?

Open a Mac app from an unidentified developer - Apple Support

If so, make sure you trust the app and the developer to be legitimate and safe. Also make sure you acquired the app directly from the developer, otherwise it may contain nasty surprises.

Most of the time that's to allow access to a camera, location, etc. Look under Settings > Privacy. You'll then see options. Eg. if the app is asking for location, select location services; Camera, select camera, etc.