Simply put, this is a standard message when installing software not known to Apple, when installing on your Mac OSX operating system.
This is normal for a large proportion of App's installed outside of the App Store, and is nothing to be concerned about.
To resolve this issue, you would be first presented with this window:
So the first step is to close this window. Don't click move to bin, otherwise you will have to reinstall PSEngine again.
After closing, go to your applications list. You can do this by going: Finder > Go > Applications
Once you are in applications, scroll down and click on System Preferences:
And finally once in system preferences, click on Security & Privacy:
Towards the bottom of security & privacy, you should see the below screen. Click on Open Anyway.
A new pop up will appear saying: "macOS cannot verify the developer of 'psengine'. Are you sure you want to open it?" At this point you want to click open.
Once you click open, PSEngine will start. From this point onwards if you click PSEngine it will start without needing to do this until reinstallation.