https://bugs.winehq.org/show_bug.cgi?id=40416
--- Comment #1 from Ken Thomases ken@codeweavers.com --- Is it possible that it has opened the dialog but it's behind the main window instead of in front of it? Can you try moving the main window or shrinking it before attempting to open the dialog, to see if you can see the dialog behind it?
Another thing to try would be to press the Escape key on the keyboard to see if it dismisses the hidden dialog.
Finally, if the program is truly hung, please collect a sample report. You need to identify the specific process (possibly by examining the command-line arguments shown by "ps xww | grep wine"). You can then use Activity Monitor's View > Sample Process menu item or the "sample <process ID>" command.