Re command lines in general...
The original 1984 Mac OS never had a command line, nor did any Mac OS up until Mac OS X. Command lines in principle only really have a benefit in certain circumstances. Often they are used to cover imperfections in other aspects of a gui-based system. There are of course some critical uses (e.g. batch processing with regular expressions).
Debugging can come under both. Many of the switch options (e.g. end of turn confirmation, speeding up movement, etc) should really be useable via the gui. In Wesnoth, as a work in progress and non-profitmaking to boot, coding the gui for all such possible changes would be a true waste of resource. Of course, adding the gui options for proven switches is important from the end user perspective.
Re SDL development libs:
All the development libraries are available from http://www.libsdl.org
just search for the relevant library... e.g. sdl_image, etc. Or start from http://www.libsdl.org/projects/SDL_ttf/
and just change the end directory
Re Apple and command lines:
To their credit Apple have removed none of the power of the command line from under OS X. To start there were features missing from the gui, but that is mostly gone (still need it for renice though
Your problem is that you need to re-specify the data path as the app must be run from the Mac OS folder so invalidating the hard-coded data path. Do a cd to the Mac OS directory, then type:
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./Battle\ For\ Wesnoth\ \(Embedded\) --debug ../
That should run fine (or at least it does on my machine...).