Hi there,
Sorry about your troubles!
Usually these messages mean that the device has no controls via the computer. If you select it as your output device, the sound icon at the top of your screen will gray out because the levels are controlled via the device itself.
I believe the device is actually functioning properly seeing as how your getting levels on the meters. The reason you're not getting sound out of your computer speakers is because you might have inadvertently selected the Saffire Pro as your output device meaning the computer is sending all of the audio to that (which you have no speakers connected to I'm assuming) rather that the internal speakers.
Let's run a few tests.
Select the focusrite as your input and output device in sound preferences (ignore any messages it gives you) and connect a pair of headphones to it. Now open up iTunes and try playing a song to see if you can hear anything. If you can hear the song then everything is functioning properly. If not, then you might want to download and install any updated driver software for the device via Focusrite's support webpage. You could also try restarting (unplug and replug) the Saffire Pro 14 and try again, or lastly make sure OSX is up to date and restart the computer after selecting the device as your I/O device of choice in sound prefs.
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If you don't want to use the Focusrite as your output device and prefer to keep the sound on the computer's internal speakers / headphone port then go to sound prefs and select the Saffire as the input device but under the output tab, leave "internal speakers" selected.
Doing this setup will keep the sound coming out of the computer's speakers/headphone ports but you will be able to record via the Saffire Pro.
Lastly, just in case you did have everything set up properly for computer speaker output (and you weren't getting sound), I want you to check your recording software. Now, you said you were getting levels but no sound.
A lot of software (Pro Tools, Logic Pro, etc) require you arm the track for recording and/or turn on input monitoring or it will do exactly what you described, show levels but not output sound.
Garageband doesn't output mic sound at all until it's been recorded to a track and you're playing it back (it will show levels though).
I hope this helps!