When an application is downloaded from the internet, it is put into "quarantine" until you first run it, at which point you can tell macOS that you trust the app and so remove it from quarantine. KindleGen is currently quarantined, and while it is in this state, macOS's security settings block Scrivener from using it. For Scrivener to be able to export to the Kindle .mobi format, you must remove KindleGen from quarantine by following the steps the below.

1. Locate and open the "kindlegen" file inside the KindleGen folder in the Finder (or simply click on "Reveal KindleGen in Finder" below).
2. Ctrl-click or right-click on the "kindlegen" file and select "Open" from the contextual menu that appears.
3. A message will appear, either warning you that kindlegen was downloaded from the internet or that it is from an unidentified developer. Click on "Open".
4. Because KindleGen is a command-line program, Terminal.app will open. You can close it again straight away.

You have now opened KindleGen and thus taken it out of quarantine, and Scrivener should now be able to run it and create Kindle files without any further problems.

(Note that if your Mac is using the default security settings, you must select "Open" from the contextual menu as described above for this to work; if you just try double-clicking on KindleGen, there will be no "Open" option in the warning panel.)