It will likely still warn you even if you are on the App Store and identified developers settings. You need to either right click the app and press open, or open regularly, dismiss the warning. then go back to the security settings. It should have a notice at the bottom about trying to open Pencil2D, with an Allow/Open Anyway button on the right you can click. You will only need to do either of these the first you start the application, you should be able to open it regularly afterwards. There are many videos online guiding you on how to allow an app from an unidentified developer you can search for if you still need help.
In order to remove the warning, we would need to sign the application, which would require an costly organization license from Apple. This is not something that we as a free application run by volunteers can do right now, so it will stay that was for a while.