To link with the libraries, you need to specify which libraries to link: in your 2nd screenshot you added directories in the Framework/Libraries section, but it expects actual library and framework files.
You can see how the IntegrationDemo.xcodeproj is set up (found under SDK/samples/IntegrationDemo/Mac). Notably, in the Build Settings section of the project:
* The include directories need to go under "Header Search Paths"
* The library path need to go under "Library Search Paths"
You can refer to the frameworks listed in the "Frameworks, Libraries and Embedded Content" to know which are required, since parts of the Sound Engine rely on them. See Build Configuration SDK documentation page for an up-to-date list of dependencies.