Can you confirm that when you "double click the file" you are double clicking the actual file and not a (possibly broken), alias to the actual file? You might need to use the Mac's "get info" option to check and see which you have here.
It was an alias but it did not looked like it was broken; broken aliases appear as blank or with a question mark.
At the same time FMpro was opened and only when it had opened the message appeared.
Strangely enough I can no longer reproduce the behavior. It all works fine now.