If your Mac is set to allow apps from the App Store and identified developers, and you try to install an app that isn’t signed by an identified developer or—in macOS Catalina—notarized by Apple, you will see a warning that the app cannot be opened. That’s why you cannot install Display Pilot on your Mac. You can control-click the app in Finder, choose Open from the menu, and then click Open in the dialog that appears. Then enter your admin name and password to open the app. Then you can install or open Display Pilot on Mac.