SQL installation process

When you click the Cancel button of that dialog challenge, go directly to System Preferences > Security & Privacy > General panel, and near the bottom, you will see a button allowing you to install MySql anyway. Be absolutely certain that the version of MySql that you are attempting to install indicates it is the version for macOS Monterey 12. *.

Another way to allow an app from an "unidentified developer" to run is by Control-clicking the app and selecting "Open". You will then be given the warning notification the software is from an "unidentified developer" and present you with the option to precede with running the app at your own risk. I haven't run an app with an installer for a long time now, but you may need to repeat the process again the first time you run the app after installation. Check with the developer if you have any problems running it on macOS.

I prefer this method of running a third party app because many times I am never presented with the button in the System Preferences "Security & Privacy" pane to give macOS permission to run the app.

Sometimes, even your first paragraph does not work with some packages, and one must venture to Security & Privacy anyway.