WakeHold isn't signed with a paid Apple Developer certificate, so Gatekeeper says the developer “cannot be verified.” This is expected. Right-click the app in Applications, choose Open, and click Open in the dialog — once only.
If the dialog won't let you through, open System Settings › Privacy & Security and click Open Anyway.
Only if you turn on lid-closed mode. Clearing the clamshell-sleep flag requires root, so macOS asks for your password once. A watchdog restores normal sleep if WakeHold ever stops running.
WakeHold ships with a built-in diagnostic. In Terminal:
/Applications/WakeHold.app/Contents/MacOS/WakeHold --diagnose
It prints what the app can see and whether it would act — the quickest way to tell a settings problem from a permissions one.
Quit from the menu bar and drag the app to the Trash. Delete ~/Library/Application Support/WakeHold if you want its data gone too.