Cancel, open the system preferences and go to security.
For a short time period after trying to start the program you can allow to run the program there.
Another solution is start with a right-klick on the SJCuvwxyz.app.
My Catalina updated OS is 10.15.7 dowloaded software is listed as working with 10.15 I think this a is the problem. Maybe we just have to wait for Soundjack to update. Another reason to stay with Mohave. I had no choice sinnce I had to buy a new Mac. Some of my hardware and software had to be replaced. CATALINA SUCKS