Apple security now reporting “XLD.app” can’t be opened because Apple cannot check it for malicious software.
Message pops up
Drag icon to Applications folder (local to user - not system)
Message pops up
Select app from system preferences / security
Select open from dialog box
Catalina 10.15.7 on Intel Mac Mini
Security set to allow applications from app store and identified developers
Note this only happens on the first launch.
XLD isn't signed with a paid developer ID so it is an expected behavior.