I'm not sure what Mountain Lion or Gatekeeper are, but I'm sure I don't have them
I think I managed to successfully codesign an app made with Ren'Py, but I'd like to be sure. If you have Mountaion Lion with Gatekeeper set to the default (run only signed apps) can you try and see if this works:
you should be able to open it without any warning that the game is a work of Satan (I'm being ironic of course)
You can run unsigned apps, just you need to ctrl+click or right click and select Open instead of double clicking them. Also i think you need to sign the app using Apple's key from their Mac Developer ID program (you probably need to pay them for that), not with any 3rd party key.
I know, I signed it with the Mac Developer ID program. I need to make something that the average joe user can open without encountering any message like "this program could RUIN YOUR LIFE! RUN AWAY!"