Reading the discussion, I see the developers intend to never sign their OSX package. This is a pretty big red flag for me, shows that the developer isn't really serious about supporting OSX.
Too bad, I was excited by the idea, but this is just unprofessional and I really need to trust my browser.
Or they just prefer to not go out of their way to support the walled garden that is the Apple ecosystem. Principles beat professionalism any day for me.
I hate this about MacOS. It happens seldom enough for me to forget about it and every time I have to search the web for the solution. Thanks for posting the steps.
It said "Zen Browser" is damaged and can't be opened, you should reject the disk image.
edit: it's a known thing to do with Apples security, workarounds in step 3 here:
https://github.com/zen-browser/desktop/issues/53