This seems like a hot article with frequent updates and a lot of upset pagevotes. The problem isn't exclusive to screenshares, I've seen new laptops do it in front of me, the button turns blue as in clickdown but nothing happens. It's probably an OSX bug.
As a workaround:
1) Enable full dialogue tabbing
(System Preferences > Keyboard > Shortcuts > "All controls" radio button at bottom (or global hotkey fn+ctrl+F7))
2) Go back to the security preferences panel
3) Tab until the "Allow" button is highlighted, press spacebar
4) Reboot prompt
5) Profit
Edit: Oh, original KB is here
support.home.sophos.com/.../115005574086
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