If I create a setup on one platform, can I use it on a different platform? Did a setup on a Windows machine, can I copy it and use it on a Mac?

That sounds like it should work. I would say try it and let me know. I can find out for you tomorrow.
Sincerely,

What files would I move?

I would just make sure your software has all the same personalities and updated software then copy your show file (found in widows as C>users>my document>elation>emulation.)and then place it in the proper directory on your mac.
hope this make sense. Let me know.
sincerely,

It does work. I copied the full Emulation folder from windows. Renamed my Mac folder just in case, copied in the new windows folder. Then go to Disk and select the show file. It will change the path and pull in all the fixtures and cues.