I got it to work

Open terminal and type: sudo xattr -r -d com.apple.quarantine /Applications/CrossOver.app
Type in your password and now you can use CrossOver!

Change “Applications" to wherever you downloaded CrossOver

1 to get this fixed

The fix was posted by @Yoyopizzacat, MacOS quarantines un-notarized apps and therefore the only route is to un-quarantine yourself using the above command.

I'm leaving this open as a reminder for others.

We can still run un-notarized apps without this command, we just need to right-click the app and click "open".
But with this app, the problem seems to be different.

I got it to work

Open terminal and type: sudo xattr -r -d com.apple.quarantine /Applications/CrossOver.app Type in your password and now you can use CrossOver!

YOOOOO LETS GO IT WORKED I LOVE YOU <3

This is interesting @Pedro-Beirao, I'll look into it further as to why it's saying the code has been modified.