Edit: Just got back the official fix, fetch the game with the GOG Downloader instead of a browser. Safari, and probably others, add a quarantine
xattr that carries onto the executable.
And the Mac build is broken, on 10.8 at least. I suspect the problem is that they signed the app, but not all of the frameworks inside. It's a known broken thing in Apple's development tools, with maddening workaround spells.
Ah, the workaround is to either turn off Gatekeeper entirely, or run from the terminal. Right-click and Open does not cut it, the app is just dismissed as broken and you are offered a 1-click solution to trash it. The most straightforward-ish way to run in the terminal is with Finder, Show Package Contents and find Contents/MacOS/CaveShooter. Drag that file onto a Terminal window, and press enter.