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Hi Stephen,

I don't have such issue on my side.

 In AutoCAD for Mac I use the same command for loading and executing scripts as in AC for PC.

After I call SCRIPT command, standard file selection window appears with .scr file format filter and I can select .scr file in it:

Yes, I have to say that in macOS Mojave and Catalina sometimes files matching filter are grayed out in such dialogs. Not sure is it a bug in AutoCAD or in macOS, but you still can select them in relevant dialogs for opening.