Linux has no extension. Usually binary files simply do not have. To mark them as executable, you set the + x flag in the file, which will grant the file permission to execute.
OSX also has no extension. If you want to install your program on a Mac, it will be packed into a folder (on a Mac they are not like folders, they look like programs, and on other OSs they look like folders) with the .app extension.
Launch4j can generate you binaries for all platforms, Mac OSX, Linux and Windows.
The “warning” problem is that your application is not signed. Signing an application means sealing it so that it does not subsequently be modified (it could have been modified, but the seal has been broken). On OSX, you can get a developer certificate and use codesign on .app ( codesign -s "certname" with the certificate installed). On Linux, you will not have such problems, because programs usually do not sign (package manager packages usually sign, this information is lost after installation).
On Windows, you can also buy a certificate. After this and signing your program, a “warning” can still appear, taking into account the user's settings, but it will show the developers or the name of the company, but not unknown (it will not appear if it is not signed, or the signed program was changed after signing).
Nidhoegger
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