I can't speak directly to this issue, as I have not experienced it. Here are just some of my thoughts:
1. On Mac, the normal way to set file associations is through Finder. The top of this article shows how to do it from Finder:
https://www.macrumors.com/how-to/how-to-manage-file-associations-in-macos/2. MC can play files that are associated by clicking in Finder, which I think is what you are trying to do. But, in my opinion, MC wasn't really designed to be used that way. It's really designed to be a Library manager that houses your entire collection. MC really expects that you will open MC itself and navigate inside of MC when you want to find music, browse, etc. MC is very good at this.
3. Because of this above point, I don't use MC for any Finder based playback. Really the only thing I do when playing files from Finder is casual "preview" type work to validate the contents of a file, make sure it plays, or similar tasks. If I want to play it with MC, then I put it in the right place on disk and import it into MC. That way I can always play it with MC later, using MC's interface. Navigating to files in Finder is backwards compared to the rich interfaces provided by MC to organize and find your music collection.
4. When I do need/want to do casual previewing of files, I use an entirely separate player. I have essentially all music and movie formats associated with another common player called VLC. VLC is good at doing these preview type tasks. If I really want to play it to enjoy the music/movie/TV/video, it gets played through MC's interface.
Again, these are just my thoughts. Feel free to completely ignore my points if they contradict your intended use case.
Brian.