Need to worry about this?
I get similar notices and was a little worried at first, but website malware targets browsers, and jormungandr is not a browser, so is unaffected. I’m not a malware expert but I have some web tech background, I’ve looked into it and I’m 99% certain there’s nothing to worry about.
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That type of software thrives on paranoia (which isn’t to say they’re not in fact after you, of course 
)
But if such a warning is triggered by something you just installed from a trusted source, and as RobJF pointed out it doesn’t involve the actual targeted software, you should indeed be OK.
For example, I also had to greenlight Daedalus and its ITN version with Little Snitch, or the sheer number of stopped connection attempts would have driven it (and myself) crazy.