The desktop app reads your live chat and sends events to your overlays. You will need it for anything to appear on your stream.
The app asks for a licence key, which comes from your account page. Creating an account is free and takes a minute. Create one →
Both operating systems warn about apps they have not seen many times before. It is about how common the file is, not whether it is safe.
Open System Settings, go to Privacy & Security, scroll to Security, and press Open Anyway next to LiveConnectPro. You only do this once.
Press More info, then Run anyway. The Run anyway button is hidden until you press More info, which catches a lot of people out.