I'd still say it sounds like the location of the game is the issue. :D Or to be more precisely that the game has no permission to make or change files. Which is why changing the settings is also not working, since the config file can't be changed. That other games in the same folder work doesn't necessarily mean that the Renryuu folder has all permissions. Did you try to move the game folder to the desktop? I think that was one of the places on Mac where folders usually get permissions.
An alternativ, if you can't get it to work somehow, could be to play the browser version at gamejolt: https://gamejolt.com/games/Renryuu/152719