I ran into this issue before. As someone who only used Windows or Linux until recently for narrow use cases where i am force to, this procedure was extremely opaque and time consuming to figure out. MacOs is not simle or easy if you hadn't grown used to it over many many years. It certainly doesn't make you feel in control.
The command-click method is new to me - I thought the only way to launch un-notarized applications was via Settings > Security, after attempting to launch the application once.