Hey KP : )
Just a hunch, but drag the folder from the downloads folder into the Applications folder, which should be at the root level of the drive. And restart or at least log out and back in, pretty much just for the heck of it, probably not necessary. Then when you locate it next, drag the application icon to the dock until it sticks (it puts an alias there), and then launch it from there.
Also, unless I'm remembering wrong, I think Reaper puts up the alert at launch until it's a paid version.
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