The binaries in the /bin directory are not signed so your OS will probably complain. To avoid that, the first time you run each of them you should run them by right-clicking and selecting "Open" instead of double-clicking. Then you will be prompted to confirm that you want to run them. After that, you can run them normally. Additionally, to run the MuJoCo training you should also right-click and run the mujoco dylib in /lib.
Note: When running the executables on macOS by double-clicking the working directory is usually the home directory (e.g. /Users/username) and this is where checkpoints and logs will be saved under the "checkpoints" and "logs" directories.