Ugh, sorry to hear that! Happy to brainstorm with you on what could have gone wrong. I wouldn't expect Steam or GOG versions to have any differences for those files. Here are md5 for files I have (from GOG 1.2 Windows version):
MD5 (fury.def) = 68f4b7e312bbaf6e7fd564ca2ba552ad
MD5 (fury.grp) = 24ff590a9bc6f4a69e3536f76ca53d50
MD5 (fury.grpinfo) = c44a3221fe69c1860102b50c30bd9674
Couple more things you could try:
1) EDuke32 shows that it's looking in few more locations (e.g. ~/.config/eduke32/) - perhaps one of those would work?
2) Did you extract those files on macOS or copied over from Windows? I can't think of specific possible issue, but in the latter case, perhaps it's some attributes that make EDuke32 miss the files? In this case - I can share what attributes I have to compare
3) It's not evident from your screenshot, but in case you're on Catalina, perhaps you can try giving EDuke32 permissions to access the folder where the files are of full disk access? I double checked and I didn't have to grant anything - but with Catalina you never know :-)