I don't have a Mac, so not sure what different kinds of issues could come up. Standard questions...
Did you extract the V-Sets zip file into the same folder where SWMiniManager.exe is? All .SWM files must be in same folder as the main executable, and the pics in subfolders.
Below image is from a Windows machine, but your folder structure should look something like this (may be some slight differences due to the computer I took this shot from)
And then the other big gotcha - (which should be noted in the readme.txt in the zip file) there are no set icons/buttons or menu entries for the v-sets. Check individual factions, do you see the v-set pieces?