I can shed some light here.
The problem is that a long time ago (1985) Apple came up with a "MacBinary" file format, which is an archive format like ZIP, and it uses the file name extension .BIN. https://en.wikipedia.org/wiki/MacBinary
Because of this, on a modern Mac the default behaviour for opening a .BIN is to try and de-compress it as a MacBinary. So if you try to double-click a .BIN file, you will get an error, that it cannot decompress the archive. But you don't want to decompress it! You want to have it run in your preferred software.
Most people will NEVER fuss with a MacBinary file. You can safely change the file type association for .BIN to OpenEmu or whatever you like, and it will stop trying to interpret .BIN files as "MacBinary" and then you won't see that error any more.
As noted by everyone else, OpenEmu can read properly formatted ZIPs just fine. Do note that every once and awhile this might not work as expected, if the contents of that ZIP aren't formatted in a way that OpenEmu understands.