You might be facing the same issues I had a while back when I was trying to load PDF files from the local filesystem. In my case, I was using HTMLLoader class, but maybe it's the same with SWFLoader (haven't tried myself). Anyway, in my case the fix was to check for if the user used OS X and if true, prepend "file://" to the url.
var fileURL:String = File.applicationStorageDirectory.resolvePath("Help Documents/help.pdf").nativePath;
if(flash.system.Capabilities.os.indexOf("Mac OS") > -1) fileURL = "file://"+fileURL;
htmlLoader.load( new URLRequest(fileURL) );
More info here: