You must be on a Mac.
I believe Apple gives that warning for anything that’s not officially code signed by a recognized developer. Not being a Mac user, I’m not sure what the process is to get around that. Hopefully somebody on a Mac that’s used GP extensions can chime in.
I see similar Mac issues described in other threads. See this one: [blog] How to install and use the Stream Deck extension in Gig Performer - GP Extensions - Gig Performer Community for how to deal with that issue on a Mac.