These are early builds, not yet code-signed by a commercial certificate authority. Windows SmartScreen may warn you on first run — click More info ▸ Run anyway. macOS will ask you to right-click ▸ Open the first time. The build provenance is open and verifiable; signing certificates are on the way. We'd rather tell you this plainly than hide it.
It opens a window to its own setup screen on your machine and asks for a key — your own Aedelgard key, or a provider key of your choosing. From that moment the mind is yours, and it remembers.