I figured out a way that appears to work. Let me know if there's a better way, or if I have articulated something not quite necessary or correct.
1. In /Applications directory, create a folder called "Pharo5.0".
(Not required, but I wanted to group all the files in one place rather than scattered in my /Applications directory).
2. Launch Terminal.
3. In Terminal type the following: (without the quotes)
cd /Applications/Pharo5.0
curl get.pharo.org | bash
4. When it's finished, it will create a bunch of files and at least one folder called "pharo-vm". Inside that folder will be the Pharo virtual machine file "Pharo.app" along with the file "PharoV50.sources"
5. To launch, drag the Pharo.image file on top of the pharo-vm/Pharo.app file.
It will launch, briefly show a black screen, but then show the standard Pharo desktop with no warning message. When I quit, either with saving or not saving changes, there is also no warning. It appears to work properly.
Lessons learned:
* The blue MacOS button on the download page downloads but the resulting file doesn't work properly, even if it's placed in the /Applications directory.
* the "curl" way works (see above, and
http://pharo.org/download section "Prefer the Command Line?"
* Dragging the image file onto the Pharo.app VM works to launch Pharo