This is my case,

First I saw the Malware warning alert and I clicked (looking back that I shouldn't) Move to Bin and it deleted a couple of "malicious" files completely. Then I downloaded the .dmg file from docker's website.

After I installed it, it prompted me that "Docker is damaged and can’t be opened. You should move it to the Bin" and asked me to delete the entire app. I ignored and warning and left alert open, then I followed @W-B's solution and copied those two files to the folder PrivilegedHelperTools (It didn't exist and I needed to create it manually). It still does not work for my case after a few attempts at this moment. I still can't get rid of that annoying alert.

Then I noticed the workaround steps on Docker's official github page. I executed the step 1 and 2, which verified that my cert was correct. Then the rest step is the same as @W-B's answer so I stopped right there.

Then somehow, I realized that my docker was not proper installed after the .dmg file was unzipped. Then I searched "Docker is damaged and can’t be opened" and came across this page, which points me to Docker's wiki page and executed the following the command 2-3 times, cuz I need to battle with the 2nd annoying alert that says my file is already damaged.

sudo /Volumes/Docker/Docker.app/Contents/MacOS/install

After a few attempts, the alert is gone and I can load my image properly in docker.

I still don't know exactly what steps make it work for me. But just want to write down my debugging process and share those links and hopefully that can help someone in the future.