Yes, they put that feature on somewhere around 10.8 or so when they started pushing the mac/app store. By default, I suppose it stops idiots from downloading and installing malicious software. If you have a new mac, you are on MUCH later than 10.4...not sure why its not working for you? What are you trying to install? Maybe you grabbed the wrong version? Yosemite is version 10.10.
TrueCrypt. It is a known fault, according to the intermanet. There is a workaround, but it is still a PITA.