The first time you launch vscodium, don't do so via "Open" or double-click; instead, right-click and choose open. This will give you the option to bypass macOS'

The first time you launch vscodium, don't do so via "Open" or double-click; instead, right-click and choose open. This will give you the option to bypass macOS's GateKeeper just once, after which you can launch the app normally.