Unidentified developer message for Steam games

Hello everyone,

I would like to ask for advice about 'Unidentified developer' message on MacBook Air (macOS Sonoma). I received this message when I wanted to play two games on Steam. I believe these two popular games are harmless and what more they are played through Steam (safe place too I believe) so even after this message I opened those games. But just for sure I want to ask what is the best thing to do.

Is there nothing to worry about or is it better to uninstall those games and do some other things like reset to factory settings, change passwords etc.?

Thank you very much for advices and have a nice day.