In order to install some of the software into macOS one has to go to Security & Privacy section of macOS preferences and click “Allow” button to allow that software to run as an OS kernel extension (or something like that).
Problem is, sometimes clicking the “Allow” button simply does nothing. Nothing at all. And there is no error message to figure out what’s the problem and what is happening.
One thing to find out the root cause of the problem though is to open Console.app that comes with macOS (inside /Applications/Utilities by default) and look there for log messages produced when clicking that “Allow” button.