You'll probably have to manually create the save folder. This is in your USER library, not the system one:
~/Library/Application Support/KADOKAWA/Proteus Effect/
Been a while since I used a Mac, but this may help. I think your user library is normally hidden, so you'll have to get there a slightly different way. This page tells you how to get to a specific destination on your mac:
https://support.apple.com/guide/mac-help/go-directly-to-a-specific-folder-on-mac...
You'll be doing the bottom option, "Go to a folder by entering its path name."
- In the 'Go' box, enter:
~/Library/Application Support
- Press enter. You should now be in the ~/Library/Application Support folder
- If there isn't already a folder called 'KADOKAWA' in there, create one with that name
- Go into the KADOKAWA folder
- If there isn't already a folder called 'Proteus Effect', create one with that name
- You're done