It seems that you used the wrong procedure. As mentioned in the error
message that you copied

1. Open the .tar.bz2 archive (or .dmg on OSX)

2. Move the SageMath folder/app to where you want it to be. You can
   also rename the directory now.

The step 2 is *not* about moving the dmg file but only the SageMath
folder it contains.

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