I've been wrestling with this ever since 10.14, "Mojave" came out. I gave an answer to this question, sagemath 8.6 could not work normally on mac 10.14.3 with my own workaround, but your suggestion, SageMath.app/Contents/MacOS/Sage, seems to work just fine for me and is easier to do. I have just now written a shell script, made it executable with chmod a+x and put it in the dock, so that is a big improvement!