Some context: .exe is the executable format for Windows. It’s fine that Valve is using some translation layer instead of doing a port of Counter Strike 2. This error does however suggest that they don’t even test their games before releasing them on macOS.
Must be some bug since they didn’t have Mac build it must have defaulted to windows build.
On Linux I got this same message but for cs2.sh. The game updated shortly afterwards and it started working.