Yeah, that's Apple being really "friendly" to developers with Gatekeeper. There's not much we can do about it from our end - there's no way to re-sign the app in the system it was built in as it predates app signatures for OSX.
Your best bet is to set your Gatekeeper settings in System Preferences > Security & Privacy to Anywhere, but with the latest changes that may not work anymore and you might need to do some hardcore console pokery to set executable attributes and the like...
From our perspective OSX has rotted the Desktop Dungeons alpha, so we apologise, but we can't fix it

It sucks.