I am having a similar problem on the Windows side of the house. Does the projector play in older versions of Shockwave player (i.e. v10)? Is it only on the Macs that you are seeing the problem?
Have you monitored your Net connection? Is Shockwave 11 actually being downloaded? Does the user on the Mac have sufficient privileges to install software?
I had the same problem too
Has anyone found a fix for this? I make a really bare bones 'go to the frame' stub on Vista and sure enough a shockwave-less mac won't play it -it says "This application requires Shockwave Player 11". What gives? All Xtras (just four of 'em) are marked 'include' and 'do not download'.
This problem is so painful. It has to do with resource forks and the Mac OS (and corrupt or incorrectly installed cross platform files). Gone are the days when OS X used to make shadow files on foreign file systems with the '._' (i.e. Example might have a shadow file called ._Example which stored such data) (_DStore is still around however) in OSX 10.5 when writing to a non Mac file system.
I was able to resolve this issue by downloading a working projector from Adobe's Samples and Demos for Director 11.5 on a mac and locating a Mac projector. Right click the file in OS X and select 'Open Package Contents'. Then copy the Frameworks folder to a shared NTFS volume. Its important at this point to share an NTFS file partition from Windows to the mac. Not the other way around. OS X 10.6 makes special accomodations for copying resource data to such volumes. Now on the PC, you can move the contents of this 'correct' Frameworks folder to your C:\Program Files\Adobe\Adobe Director 11\Configuration\Cross Platform Resources\Macintosh\Projector Resources\Contents\Frameworks on the Windows PC, which brings along with it the resources. You should now be able to create Mac projectors that will fire off w/out that stupid 'Download Shockwave' error. Just be sure to zip 'your projector.app' into a zip file to preserve the contents and you will be able to move it from NTFS back to the Mac or where ever.
I hope this works for anyone else out there who might be having issues and experience the frustration and pain I've had to experience.