Hi Facundo,
I'm running ABDX 2.2.3, Pro Tools Ultimate 2020.5, and MacOs 10.5.6, iMac 2020 (iMac 20,2)
The warning is gone; I had to go into System Preferences > Privacy & Security and allow ABDX to run.
When hitting render on the plugin in pro tools, it seems to wait a second or two before it begins processing (on the old system running 10.13.6, processing started virtually immediately)
I don't know if this is a function of how Pro Tools on Catalina handles background tasks or something... it just responds differently than on High Sierra.
Here's a link to a video. The cursor became a spinning beach ball while it was stalling, but that doesn't show up in the screen grab for some reason.
Thanks!