caldigit-thunderbolt-charging requires a kernel extension to work.
If the installation fails, retry after you enable it in:
System Settings → Privacy & Security
For more information, refer to vendor documentation or this Apple Technical Note:
https://developer.apple.com/library/content/technotes/tn2459/_index.html
caldigit-thunderbolt-charging is built for Intel macOS and so requires Rosetta 2 to be installed.
You can install Rosetta 2 with:
softwareupdate --install-rosetta --agree-to-license
Note that it is very difficult to remove Rosetta 2 once it is installed.
You must reboot for the installation of caldigit-thunderbolt-charging to take effect.