Go to System Settings > Privacy & Security, scroll down, and there should be a message about Vector being blocked with an "Open Anyway" button. Click that, then reopen the app and confirm.
We have this documented on our GitBook if you also want to reference:
https://vector-privacy.gitbook.io/vector-privacy/guides/guides/getting-started#macos
If you have any questions, feel free to tag us or tag other Vector users.