When I drag the SpamSieve.app (2.9.42) to the Applications folder, I get the “SpamSieve.app cannot be opened because the developer cannot be verified” dialog box, at which point Big Sur insists on deleting the .dmg. I reformatted my disk to do a clean install, so the old version was not in place.
This could indicate that your copy of SpamSieve is damaged. You could replace it with a freshly downloaded copy. Or there may be something wrong with your Big Sur installation. You could also try entering these commands in Terminal:
codesign --display --verbose=4 /Applications/SpamSieve.app
spctl --assess --type execute -v /Applications/SpamSieve.app
to get more information about why macOS doesn’t like the file.
Third time’s the charm. Re-re-downloaded and now it’s just fine. Thanks!