Hey, I also had that problem. I managed to get a connection with the following steps (please excuse bad english or wrong words)
Finder -> electrum 2.0.3. is shown under devices -> click on it ->now you should see the electrum logo -> click logo -> click on the little gear wheel -> click on "show package contents (translated from german, maybe named different in english. The second from above) -> double click contents -> double click MacOS -> double click Electrum. Then Terminal and Wallet opens and connection light should be green.
I don't understand why the terminal opens, maybe someone could explain that to me
Hope it works for you as well.