When upgrading to macOS Catalina please be aware that Gatekeeper will prevent
the Houdini installer and application from running. A dialog will pop up
stating that “Houdini.pkg” can't be opened because Apple cannot check it for
malicious software.

To workaround Gatekeeper, press OK to close the dialog first, then go to
System Preferences -> Security & Privacy and choose to allow Houdini.pkg to
run.

Alternatively you can Right click on the Houdini.pkg and select Open to avoid the security warnings.

EDIT: Our latest Production Build of 17.5.391 has now been notarized so at least with that cut you can avoid the default security warnings.