Much like all previous versions of MacOS: settings -> privacy and security -> click "open anyway". No need for open source to give in to Apple's signing demands.
In Lockdown mode there's only: "App Store" and "App Store & Known Developers".
There is no "open anyway" button when using Lockdown mode.
edit: interestingly the button suddenly appeared. Perhaps you need to keep the privacy&setting screen open.
Possibly:
> This button is available for about an hour after you try to open the app.
https://support.apple.com/guide/mac-help/open-a-mac-app-from...
You get that option only when an application gets blocked, and it doesn't hang around forever (nor does it stack, you don't get multiple options if you try to run multiple blocked apps): you have to click it when it's relevant, and if you don't, it disappears after a short while.