There are a few set-up steps and cautions.
First, Picardy was created for Intel-based processors but it will also work on Silicon (M1, M2) Macs via the Rosetta utility (if you haven’t done so already, you will be prompted to install Rosetta when you try to start up the app—but please carry out the steps below first). More on Rosetta here if you’re curious.
Second, since the Picardy toolbar uses a specific font that is not installed by default on Macs, you will have to install it manually. (If you have been using Picardy 2.0 and have already carried out this step, you can skip it now.) The font can be accessed from Microsoft. When the file downloads you just need to unzip it and double-click the font files to start the installation.
Third, because Picardy is not a registered Mac application (that costs money and this is a non-profit project!) when you try to run it, MacOS may complain that the software is broken, you should move it to the trash, and so forth. There are ways around this.
After you save Picardy2.1.zip to the Applications folder and uncompress it (this may happen automatically when you download), right-click Picardy.app and choose Open; it may give you the option to continue anyway even though MacOS thinks it’s damaged. If so, everything is good.
If that doesn’t work, the other process is a little more complicated and requires working in the Mac Terminal. For most versions of Macintosh, in the Finder 
open the /Applications/Utilities folder, then double-click Terminal.
If you need more information, see Apple’s page on how to open the Terminal. You can choose which operating system you use and the page will display specific instructions.
After you open the Terminal, at the “prompt”, type (or, even better, copy/paste from this page) the following (assuming you saved the app file in the Applications folder):
xattr -cr /Applications/Picardy.app (then press Return/Enter)
chmod +x /Applications/Picardy.app/Contents/MacOS/picardy (press Return/Enter)
Because various Mac versions structure the folder hierarchy differently, you may need to try the following variations of the above:
xattr -cr Applications/Picardy.app (then press Return/Enter)
chmod +x Applications/Picardy.app/Contents/MacOS/picardy (press Return/Enter)
(The slash before “Applications” was removed.)
Or:
xattr -cr ~/Applications/Picardy.app (then press Return/Enter)
chmod +x ~/Applications/Picardy.app/Contents/MacOS/picardy (press Return/Enter)
(A tilde “~” was added before the slash.)
It should finish in a few seconds and then you can close the Terminal. Then try double-clicking Picardy.app again.