What should I do? the Mac keeps popping up the same thing, apparently every time I stumble on some copyrighted media. Should I execute the file by hand, and then the mac would give access to it automatically from then on?

@leocg Thanks. Do you confirm is a legitimate file and behavior?

I ended up deleting both the exe and sig file. Today the same pop-up; I guess Opera reinstalled it automatically.

Since the Mac says to me it can't be opened: what should I do? Can I keep using Opera or is it better for me to take some specific actions?

I was using opera when my mac showed me the pop-up: libwidevinecdm.dylib can’t be opened because it was not downloaded from the App Store.

I'm being honest, I freaked out. I made some research on google, very few results. Most of them mentioned virus. I freaked out more. Can someone explain to me what happened and what this exe file is?

The directory of the file:

Library > Application Support > com.operasoftware.Opera > WidevineCdm > 4.10.2557
.0 > _platform_specific > mac_x64

There was another file, same name, but a .sig;

Additional information:
I downloaded Opera a couple of hours ago. My MacOS is Big Sur 11.7.2.