I recently downloaded a Glyphs 3 font file that I emailed to myself. I tried opening the file from my downloads folder, and I got a system notification asking if I’d like to give Glyphs 3 permission to access files in “Downloads.” I accidentally clicked on “don’t allow” but Glyphs opened the file anyway.
An app always has access to the file you open with it, which is why it worked.
However, Glyphs also looks for files next to the file you opened. For example, a GlyphData.xml file can be placed next to a .glyphs file to define properties for certain glyphs. As Glyphs checked for the presence of such a file, it needed to access the Downloads folder (not just the file you opened).
This means that if you deny access to certain folders, Glyphs can still open those files, but not look for related files in the same folder. To change the permission later, open the System Settings app in Privacy & Security → Files and Folder. There, scroll to Glyphs 3, click the triangle to expand the permission of the app, and check or uncheck specific folders.