1
Open the archive.
Double-click the file you downloaded.
Free, tip if you like. Signed with an Apple Developer ID and notarised: macOS opens it without a security warning.
Double-click the file you downloaded.
The window shows you exactly where.
System Settings → Privacy & Security → "Open Anyway". This is normal for any app distributed outside the App Store, signed and notarised included. Once, and never again.
Because the store's sandbox forbids writing the system's animated wallpaper files. No app in this category is there — not even the ones that came before ours. The choice isn't commercial, it's technical.