Preferably, the user should have read/write/execute privileges to properly run the game, this should be the case when the contents of the zip file are fully extracted (when it’s unzipped and moved outside the zip file).
You may try to Run as Admin or any equivalent method to see if that’s the case also.
However, I’d recommend using the Windows version as it is more stable to run as the Mac version may have issues depending on the OS version.