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Every time i download play on mac goes all the way through but wont let me finish because the developer cannot be verified and cant verify this app is free from malware

I think I have already red this question, search into the forum.

If you have an operating system before Catalina, you will be able to play it if you click "Ok," and then open System Preferences, and unlock to make changes, and then mark that it is ok to play software from the developer.   If you have Catalina, after you do all that, you still won't be able to play it because there is no PlayOnMac version that is compatible with Catalina yet.