In most (all?) cases, this is due to a poorly written 3rd party driver. Not sure if this was due to Gatekeeper/macOS or how the developer released/packaged the app & driver. I know that sometimes the driver portion of the install must be approved separately. I know that at least two times I had to reboot multiple times and approve the driver multiple times before macOS accepted the configuration.

I believe I may have once approved the driver by right-clicking or Control-clicking the actual installed app, but that was a while ago so I don't recall. I know a couple of times it was not straight forward even when the 'Allow exception' button was available in the Gatekeeper Security settings (the button did not always show up). I don't install many apps utilizing drivers, so I forget how I've handled it in the past. The one user did mention the software was installing a driver.

Just right-click or control-click on the thing you want to run and choose 'Open' from the context menu. If you want to install something, something that you trust, or something that you shouldn't, you can always override Apple's productions.

Bluestacks os x el capitan