Xconq rarely crashes, so when it does, that is a serious problem; please report it, and include as much information as possible about your system, what you were doing, which options were in effect, and so forth.
Xconq will sometimes display "error" or "warning" alerts. These can be caused either by bugs in Xconq, or more likely, by mistakes in the design of the game you're playing. For instance, you may be playing a version of a game that has been modified by one of your friends, but the modification was not done correctly, and you'll get an alert unexpectedly.
"Error" alerts are fatal; you may be able to save the game at that point, but don't count on it. Common ones for Mac Xconq include errors because you're loading a text file that is not a valid game, and running out of memory. Most error alerts occur during game startup, while Xconq is checking out the game definition that it's loading. Error alerts that appear during a game, and do not involve running out of memory, are more serious, and may indicate bugs in Xconq, so you should try to save the game and report what happened.
There are many kinds of "warning" alerts. Warnings are not fatal, but they do indicate that all is not well. If you get a warning alert and don't know what it means, it's safer to quit than to try to struggle on. Most warnings indicate mistakes in the design of the game you're playing, and should be reported to the game designer. If you know that a warning is unimportant, and don't want to see it over and over, you can hold down the Option key while clicking on the Continue button; this will suppress all future warnings.
In the construction window, clicking on "Build" doesn't always result in a unit being created immediately. It may be that the builder has used up its acp and can't start construction until the next turn, or that it hasn't come up for executing actions in the current turn. Clicking a second time will make the construction start immediately.