To reframe my question much clearly: I found this in README:
Installation under Windows
As R packages for Windows are distributed in binary form, there should not be any problem with the installation. Simply run from within R the following function:
install.packages("PMCMRplus")
R will automatically install all the relevant dependencies.
However I am using MAC and I am not able to install dependencies either and I am getting the "warning package ‘mpfr’ is not available (for R version 3.6.1)" .
So is there something specific I need to do to install on MAC? Do I need to upgrade my R version? Why is R not automatically installing all dependencies ?