I think this illustrates the balance you have to strike to have an effective security system. If you make it too annoying for legitimate use, you'll get people to disable it so that it no longer protects them.
I don't know what the best answer is, but Gatekeeper could stand to be a little less obstructive when the user legitimately trusts something that the system doesn't know about.
Apple's answer will, sadly, probably be to make it impossible to disable.