I am going to answer this myself as a FAQ.
This has been seen on MacOS, but applies to all MQ Client only installations. When running dmpmqcfg in a terminal you see the error:
AMQ8670E: Loading of server module 'libmqds_r.dylib' failed.
The command dmpmqcfg is used to dump the configuration of IBM MQ queue managers. It needs to connect to a queue manager to do this. dmpmqcfg can run both in bindings and client mode. The error is thrown when dmpmqcfg is run in bindings mode on a client only install, and is thrown when it can't find the .dylib file being requested. libmqds_r.dylib is used to make a bindings connection, which only works when its co-located on the MQ server.
If you see this error on a client machine, then you need to run dmpmqcfg in client mode:
dmpmqcfg -c
and provide queue manager information on the command line, or through a CCDT, or mqclient.ini