Doing chmod for this game shouldn't be necessary, at the very least try chmod -R 777, not sure if doing anything else might create issues.
As for closing at the start, my best guess is that you're trying to run the game on a low end machine or you've missing/outdated drivers. For a more accurate answer, I'd need the log (~/Library/Application Support/Winterfire/Legacy of Hestia), if no log is generated when the game closes down, it means an overlay software is preventing the game from executing.