The "Prevented from modifying apps on your Mac" message can be bypassed in Settings → Privacy & Security → App Management (switch the toggle for the app you want to be able to modify other apps).

A solution for macOS 14.5: Get your interface name by ⌥-clicking the Wi-Fi icon and checking "Interface Name". Normally it's en0. Disconnect from the Wi-Fi hotspot. Turning Wi-Fi off is not a solution; instead open the Wi-Fi menu and click the blue network to make it grey. Run sudo ifconfig en0 ether 12:34:56:78:9a:bc in Terminal (en0 is the interface name from p1; use any MAC you want). Connect back to the Wi-Fi hotspot. The new MAC won't show anywhere in the UI nor in the networksetup -listallhardwareports output, but the router will see the new address. The address will reset when the device restarts.