1. Open Shedi, then click Done
macOS shows a message that Shedi wasn't opened. That's expected. Click Done, not Move to Trash.
2. Privacy & Security, Open Anyway
Open System Settings, then Privacy & Security. Scroll down to Security, where it says "Shedi" was blocked, and click Open Anyway.
3. Confirm with your password
Click Open Anyway once more and enter your Mac password. Shedi opens, and from now on it opens like any other app.
A notarized version arrives as a free update in November, and this step goes away.
Still stuck? Write to support@shedi.app and I'll help.