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:
We now offer a Download Fixer tool. If you get the SpamSieve.app cannot be opened because the developer cannot be verified error message, you can just double-click the tool and it will verify that SpamSieve is not damaged and fix it so that macOS no longer reports the error.