RecordAudio isn't signed with an Apple Developer ID, so macOS blocks it the first time. Any one of these gets you in, and you only have to do it once.
Right-click to open. In Finder, Control-click (right-click) RecordAudio.app, choose Open, then Open again in the dialog.
Privacy & Security. If newer macOS still blocks it, open System Settings → Privacy & Security, scroll down, and click Open Anyway next to the RecordAudio message, then confirm with Open.
Terminal. Or clear the quarantine flag yourself: /usr/bin/xattr -dr com.apple.quarantine /Applications/RecordAudio.app
The first time you hit Record, macOS also asks for Screen Recording permission. That's the only way it lets an app capture system audio, so turn RecordAudio on under System Settings → Privacy & Security → Screen Recording.