Is Build available from the Build menu? Or, Does Apple-B work?
I’ve seen some Xcode default settings that only have a Build&Go button, not a Build button; Build&Go will not work for a Max external, since by default there is no application to launch (a max external is just a dynamic library). Note that you *can* add what Xcode calls a ‘custom executable’, which would make Build&Go work – often people add the Max Runtime as the custom executable, since this can be used in the debugger (e.g. putting breakpoints in your external).