I cannot run the game on Mac. Every time I try to launch the game, this dialog box shows up. What is wrong?

A bit late, but you can try open the Terminal and type in:

xattr -d com.apple.quarantine

and drag and drop the App into the terminal, it will complete the path then at the end of the line. Press Enter and try start the game.

Example: xattr -d com.apple.quarantine /Applications/Grim\ Fandango\ Remastered.app

Best
Rotze