The execution of the script to flash the firmware for the Arduino Nano 33 BLE Sense could be blocked by the following two messages when using macOS.
It’s easy to solve, but I will add a reply with the solution if someone else faces it for the first time and looks for an answer here later.
Instead of double-clicking, use control-click (or right-click) to show the contextual menu.
Then click on the Open option. After that, a new message that includes another Open option is displayed.
That one will finally allow you to run the script.
Thanks for noting this, it can be helpful for someone in the future