Where is AVD Manager in Android Studio on macOS?

You can find it as highlighted in the image

Tools > Android > AVD Manager should work, though. But you have to select Android Studio before you see the correct contextual menu .

EDIT: Since Android Studio 3.1 the path would be Tools > AVD Manager

You may not have enough packages needed for the empty project. You should have a window with I think Gradle alert with a link which you can click and you will see a window with a prompt to download missing packages. When all stuff downloads the button to run ADV should be enabled.