This doesn't work on Mac or Linux, it's just a .exe file..
Viewing post in v0.5 Rhythm Heaven Remake - Lockstep comments
Go to File > Build Settings and change "Target Platform" on the right from Windows to macOS X. For Linux, change it to Linux. Save and compile and it'll create a build for that specific platform.
Source: https://docs.unity3d.com/Manual/BuildSettingsStandalone.html