The sign in the bottom right hand corner isn't a real connectivity check. It just means µTorrent receives incoming connections, which may be due to previously opened ports by outgoing connections made from µTorrent (they stay open a little while).
I don't have a Mac at hand, but when I've looked on µTorrent for Mac in a Apple Store, the User Interface was very similar to the Windows version. The only difference I've seen on a first glance was the file navigation using the Mac OSX file "Finder" and not the Windows file explorer (of course).
So I would still expect the "Network" test being under µTorrent > Options > Setup Guide and the port used to connect in the µTorrent < Options < Preferences > Connection menu. It is the port set there you'll need to make sure the Mac OSX firewall allows incoming connections.