Please run this command from the terminal on your macbook and please report the result:
spctl -vvvvv --assess /Applications/SageMath-9-6.app
This is the second report that I have seen of this problem, also on an M2 macbook Air. The first reporter found that the spctl command above was able to identify the developer (namely me) and reported the app as "accepted". Obviously, if the spctl command can identify the developer then it is not true that "the developer cannot be verified". If you also find that the spctl command is able to identify the developer then it will at least provide some more evidence that this is an Apple bug which only affects M2 macs and which they need to fix.
There is a workaround, which should not be necessary since the SageMath app is properly signed and notarized. Please see:
this MacWorld article
The Arm disk image on github was replaced due to exactly this problem. I verified that the new disk image installs correctly on an M1 mac mini. But the problem remained for M2 macs. This is now Sage-macOS issue #44 on the Sage-macOS issue tracker at GitHub.