I don't know if I can offer much help since I do not understand how (or even if) Minecraft is related to Steam. So I am confused about what it was you purchased.
The Security & Privacy option to allow apps downloaded from unidentified developers was removed in macOS a while ago, but it is still possible to open those apps if you follow these instructions: Open a Mac app from an unidentified developer - Apple Support. The numbered steps describe what to do. Try that first.

To my knowledge the only Minecraft version currently available for the Mac is the "Java edition" available here:
https://www.minecraft.net/en-us/free-trial
Scroll down to "Minecraft: Java Edition free trial" where you will find the green "Download" button, but click the (Apple) icon at the top to get the correct version for your grandson's Mac.
The installation instructions are shown there:
- Download and open Minecraft.dmg
- Drag Minecraft into your Applications folder to install it
- Run the game just like you would any other application
- Create and explore in the infinite world of Minecraft!
If you encounter a dialog at Step 3 that prevents you from opening it, try the technique described in Open a Mac app from an unidentified developer - Apple Support. There should be no need to do anything with Security & Privacy.
If you still have trouble, Minecraft suggests visiting its support center:
VISIT THE SUPPORT CENTER
... but it didn't seem to offer much by way of explanation.