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This happened to me as well. The solution I found was:

1) Run the following command in a terminal window to turn off Gatekeeper:

sudo spctl --master-disable

2) Immediately afterward, run sage from a terminal window. (In particular, do not attempt to do anything with the Security & Privacy control panel before running sage.)

3) After you have opened sage once, you can go to the Security & Privacy panel and again allow only apps from identified developers, and sage will still open. Even if you do not change the settings, they may mysteriously reset to the default after a bit anyway.