Steps to fix the issue

1. Go to System Settings by clicking apple icon
2. Then go to Privacy & Security
3. Select Full Disk Access from right menu
4. Click on + icon
5. Enter password and select Applications from left menu
6. Then select Sequel Ace from applications list
7. Quit and reopen Sequel Ace
8. Export sql dump
9. Change path then select downloads
10. Create new folder with desired name (eg. sql-dump)
11. Select that folder, it will add the path in Sequel ACE

Enjoy coding