Malicious software warning on macOS 10.15 (Catalina)

This happens due to the new software notarization requirements Apple introduced with macOS 10.15 (Catalina). It got solved in the latest development builds and will be fixed in MuseScore 3.5, until then see #300830: MuseScore 3.4.2 on macOS 10.15 (Catalina) "can't be opened because Apple cannot check it for malicious software", esp. the workaround:
Access it from the Finder, in /Applications. Right Click (Ctrl+click or two-finger-tap) on it. When it asks you if you really want to, click "open".