Bingo, there’re quite a lot of common apps like Katalon Studio have exactly the same issue on macOS Catalina. Usually you can bypass this new macOS gateway by opening the app through System Preferences > Security & Privacy > Check Allow apps downloaded from App Store and identified developers > Click Open Anyway.
If it still doesn’t work, I assume that you are double clicking on the Katalon Studio install icon, yes? Don’t do that. Instead, you should right mouse click (or control click )on Katalon Studio icon. You should get an Open option in context menu: Select Open. Then the next dialog box you see will be similar to the one you report, but it will also have the Open button added. Choose Open and voila.
It’s just a magic tip mentioned in this article. Cheer ~