1. Yes, civ5mod files are compressed. The first post here states that, and explains that they are really 7zip files, not .zip files, and they need to be extracted into a folder using a 7zip utility.
2. civ5mod files are not recognised by Mac OS X, so it labels them as "Unix Executables". That only means that you have no application that has told OS X that it can handle them.
3. No. You can't just use the compressed mod.
The simplest way to install the Workshop mods is to use the Applescript that is linked in the first post. The script finds downloaded civ5mod files, extracts them, and moves the resulting folder to the Mods folder. It also does the edit to get the MODS menu to display.