I run the installer in a Terminal window using sudo:
You usually don't need to do that. You need to run as root if (1) you're installing the bootloader and (2) installing the bootloader on one of those devices that require direct access to the hardware. That includes the older (not sure about the 6G, since that uses a different method) Ipods. Blindly runnig things with sudo is common, but often ill-advised.
You can right click the application, then "run", and then you'll get a message box that complains about the same thing as before. However, now it has a button that allows you to run it anyway. (At least that worked with OSX 10, my hardware is too old to run newer versions so I don't know if that changed; Apple makes it harder every time to do software stuff "the old way")
In the future, please use a descriptive topic title. Bad topic titles tend to get ignored. "Trouble setting up" gives no clue what your post is about -- "Trouble running Rockbox Utility on MacOS" is much better.