There's a lot to explain about why you are seeing that.
The "use Mac display color profiles" preference option color manages the Resolve GUI viewer via macOS Color Sync based on the settings in the output color space of each project's settings
[BTW - Resolve's current default output color space setting of REC709(scene) should almost never be used since that is a scene referred color space rather than a display referred color space, and IMHO it is a bafflingly bad choice by BMD to make that the default output].
When the "use Mac display color profiles" preference option is not checked, the Resolve GUI on macOS is not managed, so whatever the native spec of the display is will be what gets sent to macOS ColorSync (though this may be treated differently on Macs that support and are set to a reference mode as that gets treated as the native spec of the display). Stills exported from the Resolve gallery as DPX, TIFF, or PNG are not tagged with a specific color sync profile, but that untagged RGB typically gets managed for display as sRGB by default. And JPEG stills exported out of Resolve get explicitly tagged as sRGB, regardless of any other Resolve or macOS settings. So, if you've been exporting any of those formats as stills, that's why the image is matching when you have the preference option unchecked — you have an unmanaged Resolve GUI getting treated as 2.2 gamma REC709 (per the reference mode setting that you chose) and stills being treated as sRGB which is essentially the same gamma and exactly the same primaries, so on your display as set those will appear the same.
Working unmanaged as you are, however, has consequences when you go to export a video file from that project to play on another color managed device, or if you move unmanaged stills to a display set differently than your own. Even if the video and stills matched on your own display, the image will no longer match on a display of a different spec, or if you switched your mac to a different reference mode. If you instead set the Resolve preference on to "use Mac display color profiles", and you want your exported stills to match your Resolve GUI viewer image on other color managed apps + devices, you'll need to ensure that the output color space setting in Resolve *and* the ColorSync Profile applied to the exported stills is the same (also, when moving between devices in different lighting environments there are also perceptual differences to account for, which is a whole other deep rabbit hole). Or, when using the default sRGB profile on stills, you'll need to transform them from your output color space to sRGB before exporting the stills.
It's also worth noting that if, instead of grading in the Resolve GUI, you're working on standard BT.1886 calibrated reference monitor, the default sRGB tagged gallery still JPEG exports will be a relatively close perceptual match on any other macOS device in the usually brighter surround outside of the color suite reference environment.
These links have additional info about color management of stills and video that I recommend reading/viewing:
https://www.provideocoalition.com/understanding-color-management/