Are you making an app for yourself or for other people to use?
If you are making an app for other people and want to play an audio file, you should bundle the file with the app and load and play the file from the app bundle. Using the app bundle is better than relying on a file being in the Downloads folder.
macOS has privacy preferences in the Security & Privacy section of its Settings/System Preferences app. You can give an app full disk access or give an app access to specific folders. If you are making an app for yourself, use these settings to give your app permission to access what you need on the file system.
You can give a sandboxed app access to the Downloads folder from the File Access section of the App Sandbox settings in Xcode.
Topic:
App & System Services
SubTopic:
Core OS
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