Snes9x.com

El Captain was able to open it through System Preference>Security and Privacy>

macOS Sierra changed it! Here:

Allow apps downloaded from:

App Store

App Store and identified developer

*Anywhere

***(It is no longer available in macOS Sierra, only available in El Captain.)

"Snes9x" was blocked from opening because it is not from an identified developer. Click Open Anyway and I got this message:

"Snes9x" can't be opened because it is from an unidentified developer.

Your security preference allow installation of only apps from the App Store and identified developers.

Whats going on ? What should I do ? El captain version included Anywhere since macOS Sierra removed "Anywhere". Help??

I just find out that you can do this:

you can still open unsigned apps via Finder by right clicking (Ctrl clicking) on the Application and selecting Open.

Your security preference allow installation of only apps from the App Store and identified developers.

That's key info right there that says you need to change your security preferences. That said, it appears you resolved the issue in a different way, so it may not be necessary now.