Now I think about it, it's probably caused by macOS's weird way of doing working directory. Can you try to launch the game by starting it from a command line window, inside where thhe program is? That probably would launch it properly.
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Usually if you want to make a nice macOS app, you'd need to pack it into a .app folder so as in macOS it would appear as a whole app. Exporting with CMake just creates a Unix executable file that works the same way as .exe in Windows, except it always launches in Terminal. And here we go, that's your "command line window" method.