It's in the downloads, I typically just extract it from the zip then click to play. There's no request to grant full disk access nor is it present in security and privacy section.
I allowed terminal full disk access redid it and still "Permission denied" did the sudo thing it asked for my password, placed the password and still "Permission denied".
Granted I've been downloading the file from Mega, I haven't tried downloading it from other links in the description. Maybe I should try other links in the hopes that maybe it might be different from mega?