PDF file cannot be opened because it is from an unidentified developer

I have a lot of scanned books and I use both Acrobat Pro DC and Preview. Acrobat is better at text recognition and searching but it's very heavy and slow so I switch between the programs.

My default program for PDFs is Acrobat but every time I set Preview as a default program for a certain file and I open it, I get this "cannot be opened" notification and I have to approve it in the preferences again and again. How can I solve this?

Thank you