Hmmm, I'm at a loss in that case. It could be a permissions issue or something. Is there a log.txt in the game's directory? If so, what are the contents?
"On Windows/Linux and Mac, just unzip the package and double click the .exe/.sh file or unzipped application bundle"- SL Install Guide
I clicked on the .sh file, but it opened up a TextEdit window contained what looked to be script related to RenPy.
The SL.exe and SL-32.exe both have decompresser icons- meaning they weren't decompressed. Could it be related to that?
When I try directly launching the app, nothing happens. Any suggestions?
The game is a bundle with the Windows version (the exe files), Linux (the .sh file) and Mac (the SL.app). The only thing I can think of is macOS somehow interfering with the launch of the game. Either because of GateKeeper, quarantining or a general permissions error. Have you right-clicked and choosing "Open" from the context menu instead of double-clicking?