hi walter, i think after that happens, if you go into the system preferences and click on "security & privacy" there will be a button in the lower half of the window mentioning the dylib and a button that says "install anyway" or something like that.
i don't have 10.15 on any of my machines so i can't test, but i think others reported being able to override this and get it installed on 10.15
rob
edit: i should say that after clicking that you probably need to re-try installing the module from within pixinsight. i think clicking the button only marks the .dylib file as being safe, it doesn't actually install it.