This is on a iMac (2017) running Venture 13.2.
After mounting the Wireshark 4.0.3 Intel 64.dmg and clicking on the "Install ChmodBPF.pkg", I get the following popup window when clicking on Install ChmodBPF package icon.
There is no application set to open the document “Install ChmodBPF.pkg”.
Finally figured it out. The icon you click on is an alias and for some reason it is not referencing to the real ChmodBPF.pkg correctly. Select the alias by right or ctrl clicking on it and select "Show Original", double click on the original which is in /Applications/Wireshark.app/Contents/Resources/Extras/
The installer app will then open.