You need to make sure you have installed the HALion Sonic SE 3.5.0 build that is provided in Steinberg Download Assistant along with Dorico 4. No earlier version of HSSE will run natively.
If you’re not sure what version you’ve got, run Dorico 4 under Rosetta so that you will definitely be able to load HSSE, instantiate the plug-in, click the Steinberg logo in top right, in the menu choose About and then look carefully at the version number. It must be Version 3.5.0.137 or later. The relevant version number is in the bottom left-hand corner of the window that appears.