I created an (Delphi XE2) Firemonkey sample program which contains a TButton and a TSavedialog with two different filters. (The TSaveDialog component supports the Win32/Win6
The Save dialog is not constructed in Delphi but calls the native MAC OSX dialog (NSSavePanel). This does not have a user selectable filter.
When you execute a save dialog, Delphi passes the filter as an array to NSSavePanel.SetAllowedFileTypes which determines what extensions the OSX dialog will allow the user to specify - but there is no selectable list.
To allow the user to select from a list, you would need to create your own filetype selection dialog box and then take that selection and pass to the savedialog as the default file type and the only filter item.
The alternative of creating a completely new fileSave dialog is not easy as the Firemonkey tree component seems to insist on expanding all its nodes and hence performs a complete traverse of all the files on your hard drive. In any case, MAC users will be familiar with the standard dialog.