FYI, when an app uses an installer, then it will be placing bits into other system areas of macOS. This requires you then use the app's uninstall feature or uninstaller to fully remove it from the system. How this is done can vary somewhat between developers, so you should check with the app's developer on the proper way to uninstall their software. Some app installers also double as the app's uninstaller as well. Uninstallers can sometimes be found as an option on one of the app's menus, or within the app folder within the Applications folder, or hidden within the app's application bundle, or sometimes it may have an uninstall option in an app's System Preferences pane, or the developer may provide a separate uninstaller app on the developer's website.
That security message I believe only lasts for a limited amount of time (I think someone mentioned 15 minutes) so it will be related to one of whatever app(s) you have been using at the time. If you downloaded this app you aborted, then the developer information should have been included on the website. Of course some download sites will secretly bundle in other junk within a legitimate download. It is always best to download apps directly from the developer's official locations and to properly vet the developer before attempting to install their software.
