I think the maps get downloaded into a folder called "dlcache". You most probably find this folder inside of a hidden folder that should be called ".nexuiz" in your home folder. But I am not all to sure about all that, since it is a while that I've been running Nexuiz on a Mac and can't confirm this at the moment.
In order to play the map via the server setup menu, you need to move the file containing the map from the "dlcache" folder into your "maps" folder in the nexuiz application folder (search for a "maps" folder inside that folder where you extracted the Nexuiz zip file to).
I hope I was able to help... you might get more sophisticated help on the xonotic forum. In case you didn't know, most of the Nexuiz community has abandoned this forum due to recent developments (see
viewtopic.php?t=6079) and is working on a fork project. I know of no active developer who is still developing for Nexuiz.