@MGlitch: What's your usual workflow?
macOS has *always* quarantined downloaded binaries (well, at least since the GateKeeper days).
The usual least-annoying way to deal with it on unsigned binaries was not to double-click 'em, as that was hitting a GateKeeper wall even before Catalina, but to right-click > Open them, which lead to a different GateKeeper popup, one with an actually clickable "Open" button.
(c.f.,
this recap in the OCP thread, which also still includes older thumbnails for the Open with > Terminal approach for a .sh).
I can't check myself, as I haven't updated to Catalina (because ADE).
But it's my understanding that this should still work without having to mess with the System Prefs.
Granted, here, this is easier with a .script than a .sh (see the
relevant issue).