Update: I just tried running Evernote Legacy and it worked this time. The only update I did was to Evernote going to 10.4 but I don't think that's what made it work. In any case, I now have my "used to be" offline notebook in Evernote.
I am running Catalina and got the same error message - “Evernote Legacy” can’t be opened because Apple cannot check it for malicious software. This software needs to be updated. Contact the developer for more information.
I need the Legacy app to fix the local notebook export error as a result of upgrading to 10.3.7