This was achieved by right-clicking after downloading.
You’re probably using either Catalina or Big Sur. If so, follow the directions in Jim’s release notes.
I see that dialog has a button labeled Open. Did you click it?
Yes, I clicked it. Catalina 10.15.3.
I was able to open the new version successfully.
For the benefit of others – did you do something different to get it to open?
As I recall, I misinterpreted the dialog that came up and did not notice the “open” option in a popup list.