Aha! It seems Apple have moved the “Open Anyway” option to a security section of the System Preferences control panel - where I found it by coincidence and was able to open the SDK.
I have a running and working Docker installation on macos, but the Sailfish SDK install didn’t seem to detect it. I had to download VirtualBox to get the install to proceed.
On Linux and Windows, both Oracle VM VirtualBox (version 4.1.18 or higher) and Docker (version 18.09.3 or higher) are supported by the SDK Build Engine. On macOS, only VirtualBox is supported.