Quit the game, double-click this file:
/Applications/MacGameStore/Games/LEGO Star Wars The Complete Saga/LEGO Star Wars Saga/SagaData.dmg
Then launch the game, again.
That disk image is the "DVD" the game is looking for. You should only need it the first time you open the game. It's supposed to auto-mount the first time the game runs because it has the registration data the game needs to apply it's licensing.
If manually mounting the disk image doesn't work to finally get the game registered, then click the triangle on the end of the install/play button, and choose "reinstall from cloud" to start over.