Hey,
I've just bought the Penumbra Collection today, installed on my Mac (10.5.7) and I had the same problem of the Overture game not starting ... It now works after navigating to "/Applications/Penumbra Collection/Overture" and dragging the Penumbra.app to my Desktop and then dropping it back again, then after double-clicking to launch the .app, I am asked if i want to launch this downloaded program, say yes and the game starts ... If this isn't working for you, possibly try uninstalling the game collection entirely and then following these steps again to see if it makes a difference ... hope that helps