As of September 30, the 5.0.2 release warns that “the identity of the developer cannot be confirmed” when Rhino is started on El Capitan for the first time. This does not happen on earlier releases of OS X.
This can be circumvented by option-clicking the Rhinoceros application, selecting Open in the context menu, then click Open in the warning dialog that appears.
There is a second 5.1 release candidate available today that has this fixed.
Both the 5.0.2 version and the 5.1 release candidate run fine on OS X El Capitan.