You can also remove quarantine flags from anything you download and after that you don't have the right click option either.
For example:
xattr -dr com.apple.quarantine ~/Downloads/Absolutely-Not-Malware.dmg
Yes I see now what you mean and with that background Xenadu02's reply does make a lot more sense.
Don't have access to a Apple Developer Transition Kit, so was not aware of the new requirements.
You can also remove quarantine flags from anything you download and after that you don't have the right click option either.
For example: