macOS Gatekeeper
The macOS Gatekeeper technology can prevent newly downloaded applications and scripts from running, unless downloaded from the App Store or identified as coming from a trusted developer.
Privilege Manager cannot get around these OS specific security protections; however deploying a script that developers use or need to run frequently is possible via the MDM process (and JAMF rollout).
Refer to details as documented by Apple regarding bypassing Gatekeeper via MDM: Gatekeeper and runtime protection in macOS.