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...
https://www.tekrevue.com/tip/gatekeeper-macos-sierra/
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