Found this work around:
Open a browser and login into your steam account there.
Find the game, and press the play button there [this is free-to-play game in my case].
Confirm that you already have steam installed.
the game will start to download.
The reason is that Catalina doesn't support 32-bit applications at all. You see this warning because the game has only 32 bit version and you won't be able to play it after update (and macOS encourages you to update it).
This is support article from Steam, they put these as possible workarounds:
Options to keep 32-bit Mac games playable on a Mac computer:...
this seems like a really unofficial looking error. are you sure you downloaded this from the official site? there is, in fact, a Mac version.
regardless, though, you shouldn't lose your stuff. as Ben said in the comments above, if you're still paranoid, you can copy the folders you need from the Minecraft folder to a new one, moving it back after.