I can't download "apple devices" on my mac

Apple Devices is a Windows only app, it is not available for Mac.

To setup your iPhone, you just need to turn it on and follow the onscreen prompts.

If you are having a specific issue that requires the iPhone be connected to a computer, then on a Mac you use the Finder.

click here ➡️ Restore your iPhone, iPad, or iPod to factory settings using a computer - Apple Support

A little bit of history (optional):

In the beginning, there was a third-party MP3 player application for the Mac called SoundJam MP. Apple bought it out and used it to create iTunes. At first, iTunes was a Mac-only program. When Apple started selling iPods to PC users, they came out with iTunes for Windows.

Things stayed that way for a long time. When macOS Catalina came out, Apple got rid of the Mac version of iTunes, breaking it up into separate applications (Music, TV, Podcasts, Books), and Finder-based device management. But they kept iTunes for Windows (which by now, was managing iPhones, iPods, and iPads).

Apple is now trying to ditch iTunes for Windows, and the Apple Devices application (which is only for Windows) is a part of that.

Of course, if you enter the wrong passcode on an iPhone too many times, and lock yourself out, requiring you to do a reset and erase, chances are that the message will refer to iTunes!

There is no Apple devices for Mac. You can set up your phone directly on screen. You can also connect to the device in finder.