How to ignore warning for program that connects to VPN
The dialog box tells you how to solve the problem.




  This setting can be changed in the firewall pane of the Security &amp; Privacy Settings


There are excellent guides provided by Apple that can walk you through the process


Change Firewall preferences on Mac
Use a firewall to prevent unwanted connections on Mac  


But basically, what you're going to do is add your application, cm_api to your firewall and allow it incoming and outgoing connections.  Remember, you must be an admin to make this change.