On Windows, once I have downloaded and installed CGoban from gokgs.com, when I click a link to a .sgf, it downloads, CGoban starts and opens the downloaded .sgf and all is well. On OSX, when I do the same the file is downloaded ans CGoban starts, but it stays on the initial screen. Why is that and can I do something about it?

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On the Mac, you have to wrap the CGoban app in a shell script then make that script an App and associate sgf files to that app.

There was a thread on GoDiscussions that I can't reference anymore, and a downloadable script/Mac app written by Hikaru79/Adrian Petrescu that would do that very thing.