On OS X, files created by SciTE or programs run by SciTE such as compilers, have the extended attribute com.apple.quarantine added by the sandbox which then means that SciTE can not run the compiled executable. SciTE can not remove the attribute so, to be able to run the executable within SciTE, use the xattr command from the Terminal application:
xattr -d com.apple.quarantine <file-name>
Added to the sandbox documentation:
http://www.scintilla.org/Sandbox.html
Neil