You can right-click and run from the context menu, in which case it should start.
Contributions are welcomed.
There is no "open anyway" button when using Lockdown mode.
edit: interestingly the button suddenly appeared. Perhaps you need to keep the privacy&setting screen open.
> This button is available for about an hour after you try to open the app.
https://support.apple.com/guide/mac-help/open-a-mac-app-from...
- https://support.apple.com/guide/mac-help/open-a-mac-app-from...