NICALiS, the publishing group that produced Cave Story+ and all the official Wii/DS ports, have pretty much abandoned the game. The original creator (who goes by "Studio Pixel" "Pixel" and "Daisuke Amaya") isn't really in charge of nor can fix the problems in all the rereleases, even though he's the honorable one.
Basically, Apple changed how local-based filepaths are handled since Mavericks, so when the game is looking for it's data folder, instead of looking for it in the folder where all of the steam files are, it instead trys to find it in the root of your hard drive. It's a single line of code that they (the publishers, not the maker of the game) have neglected to fix.
Here are your options:
- Follow the solutions that some steam members have found to copy your data folder to your HD
You can try this method, which is way easier and what I did to get my own working, so
if you have admin rights and do it right, it works flawlessly (though your save files will be in weird positions instead of easily findable in the steam folder).
There is also this, which is basically using terminal (The CommandLine equivalent for Mac users) to do the same thing. More technical and would not recommend. It should also ask for an admin password... so if you don't have that than you can't fix the problem yourself.
-
Scream at NICALiS to give a Rat's Ass. They won't because everyone else tried, but you can pretend to have hope.
-
Use the Steam Refund program if you have under 2 hours of gameplay (which you should unless you played on a windows computer), and bought it less than 14 days ago... I think.
-
Hack the game yourself. Would not recommend. Much easier to move the data folder to the HD.