The first time you launch vscodium, don't do so via "Open" or double-click; instead, right-click and choose open. This will give you the option to bypass macOS's GateKeeper just once, after which you can launch the app normally.

You should be able to override that warning in system settings. They make it inconvenient on purpose, and it's per-app, but you only have to do it once per app

You use macOS, which deliberately tries to kill off apps that do not come through the app store (i.e. apps that Apple doesn't get a cut off of)