New bug in 10.11.4 reported by Daniel Jalkut disallows double-click installs of preference panes with default Gatekeeper settings. Workaround #1: control-click and use Open button, which works with anything, including apps and preference panes. Workaround #2 from Rob Griffiths is to drag-install preference panes.
This is a different flavor of Bad Bug. It’s one which comes along in an update and causes a disruption of the user experience harmful to some chunk of indie developers. Hopefully, word will get around about the workarounds and it won’t hurt folks too badly. Feel free to do your part and tell your friends.