I just downloaded Baldur's Gate II on my MacBook Pro (running Monterey), using the offline installer, and when I tried to launch the installer, I saw the message "can't be opened because Apple cannot check it for malicious software." (Screenshot attached.) This happened with BG1 when I installed it a while back as well. I of course got around it both times with a right-click -> Open, as expected.

Still, it seems like something that's worth resolving, especially if the rumors are true about the current or next version of macOS removing or hiding the ability to open "suspicious" (aka unverified) downloads.

Please no comments about gaming on a Mac. I have a Windows gaming desktop that I use for anything demanding, but I also like to play on my laptop, and these games run great on my Mac.

Apple requires software to be notarized:

https://developer.apple.com/documentation/Security/notarizing-macos-software-before-distribution

Security isn't an AV so much as a whole OS-level system with notarization and sandboxing and blocking apps from accessing any of several locations without permission, plus lots of stuff most Mac users would never know about because they don't go poking around in hidden locations. The system has its flaws (that have sometimes been exploited in ways that would be hilarious if we weren't talking about real people losing their data or having it stolen), but it generally keeps out most of the bad stuff. The downside is issues like this one.

You need to authorize the installer in Configuration/Privacy and Security. After that, you can right click and open. PITA, but is the only thing that works.