Incorrect. Gatekeeper has nothing to do with where or how the file was downloaded. Gatekeeper restricts apps from launching at all, based upon whether or not they have the proper secure cert granted from Apple. If you have Gatekeep set to only allow apps from Apple & the Mac App Store to run, you have effectively the same level of security on your Mac that you have on your iPhone or iPad. If you stick with the default setting, which requires that apps have a signed cert on file with Apple, it’s very close to the App Store model. If you have your Mac set to run any app, you are effectively running a jailbroken device.