Problem

When you download and run the PKG installer, you see this screen at the end:

Cause

This can happen if the PKG is downloaded to OneDrive and the the file is not set to Always Keep on This Device.

Solution

Move the PKG to your local Downloads or Desktop folder and run it from there. Note that if your organisation uses OneDrive KFM (Known Folder Move) technology to redirect your Downloads and Desktop folder to the cloud, this will still not work. In that case, move the PKG to hour Home folder and run from there.