The issue with "macOS cannot verify that this app is free form malware" is because, by default, macOS does not allow users to install third party apps from sources other than App Store.
You can open Scopy by right clicking on the Scopy.dmg image and selecting "open". This will open a new dialog that asks you if you are sure you want to open it (if it does not appear the first time, try again a couple of times). You can also go to the Settings > Privacy and Security and if you scroll all the way down you will see something like ("Scopy" was blocked from use because it is not from an identified developer). If you click open anyway it should actually open the app.
Hope this helps
Thank you for the advice. I was able to open Scopy, following your steps. However, after I close the application and eject the drive, I have to ignore the "malware" message each time. I don't have this issue when I don't eject the drive, and it would be nice if there was an option to "trust" the software so this isn't the case. Looked at the bottom of the Privacy and Security Settings and I saw no such message.