The first run wizard forces the use of the DigiKam built in file selection dialogue which cannot see external discs and USB drives in MacOS.
There is no warning about this anywhere I could see so I wasted a lot of time trying different file formats (Mac, exFAT, FAT etc) and recopying 20,000 photos onto the drive before I eventually found a reference buried in the support maillist to explain that you had to switch to the native system file dialogue to see external drives on a Mac. And you can't do this until after the first run dialogue is complete.
The workaround is to create a local temporary location with no photos in it to enable first run, then switch the file dialog setting, then create your desired collection location and delete the temporary one.
The fix is either to make DigiKam default to using the native system file dialogs (what is the advantage of using something else - in general these alternatives are never better than the native system and in this case significantly worse), or as a less satisfactory alternative to provide a clear up-front explanation as to why you can't see your drive full of photos which you know is there during the setup process and explain the workaround.

Hope this is clear. Although it is obviously only a one-time problem for any user and only affects those keeping photos on an external drive it has a high negative impact (I was on the point of ditching DigiKam as unusable) so the priority perhaps should be higher than normal.

Thanks
RogerCO