I am getting the exact same problem on MacOS 10.14.6.
Happens every time i click New Game.
EDIT: I tried to download the game again, and it still showed me the same message.
EDIT2: The game's working. What i had to do was right click the games icon and click on "Show Package Contents", which took me to the games folder. Click on Contents -> MacOS -> mkxp-z. This opened the game like normal, without any error messages.