Mac OS has a feature called Gatekeeper which prevents applications from unknown sources being installed by default.

There is a useful article which explains Gatekeeper in Sierra. I'll link to rather than rewrite...

By default, Sierra prevents applications being installed that aren't signed by Apple. In earlier versions we could work around this by right-clicking on the installer but this no-longer works. Instead, you can temporarily disable the Gatekeeper feature, install then re-enable the feature if you wish to.

In summary though you can do the following to install the Mac version of Protege...

From Terminal, type the following

sudo spctl --master-disable

You will be prompted for you password.

Next, install Protege using the Mac installer.

Once complete you can re-enable Gatekeeper.

From Terminal, type the following

sudo spctl --master-enable