When you start up the game, you'll get a prompt to play either Jazz 1 CD, Holiday Hare '95, run the setup, or exit and play nothing. :)
I see - perhaps this is an OSX/Windows issue. The OSX version boots directly to Jazz 1 CD without prompts for HH95 or the setup.
I've been a Mac user for nearly 8 years, I bought Jazz Jackrabbit recently on GOG and had no idea it included Holiday Hare 1995 until last week when I bought an HP laptop with Windows 10 on it, I've installed a good percentage of my games on it, including Jazz Jackrabbit, and only last night did I fully realise that it comes with Holiday Hare '94 and Holiday Hare '95. So why doesn't the launcher on the Mac version allow you to access Holiday Hare '95? Maybe I should explore the game package files on the Mac version and see if it's even there.