So my question - does it all make sense? And what is the right approach?
Yes, it does. This is the right approach as the symbols were built on a different machine from which you’re debugging Unreal in. So lldb is unable to resolve the breakpoints when using absolute file paths. Therefore, a mapping between the building source path and the source path on your machine needs to be created.
After reading your post, I eventually ran into the tutorial below, which goes in more details into how it all works.
I got this working with Unreal 5.4.3 and Xcode 15.4.
I ran into a few more issues before I got symbols to work on my Mac but the " How Do I Check If I Have Debug Symbols?" section in the LLDB Troubleshooting page helped figure out what was wrong with the differences in base paths between the build source path and the source paths on my machine.