Got a message when I tried to install NodeJS via asdf.

You should install GnuPG to verify the authenticity of the downloaded archives: https://www.gnupg.org/

BTW, how can I do that?

That’s easy. Just try:

brew install gnupg

Reference:

• https://help.runbox.com/installing-gpg-os-x-gpg-tools/
• https://formulae.brew.sh/formula/gnupg