You can just click the "Install Anyway" button and it should install.
If Play Protect disables your app after it's installed, then you will probably need to keep Play Protect disabled because I don't know of a way to white-list an app in play-protect.
Since the error message is only warning that it's from an "unknown developer", I'm thinking once you click "Install Anyway", it will install the app OK and play protect won't bother you again about this app.