Baldur's Gate Enhanced Edition (OS X) and Dropbox
It is because of the sandbox. If you will look in your console you will see errors like: ...kernel[0]: Sandbox: Baldur's Gate...deny file-write-data .../Dropbox/Baldur's Gate - Enhanced Edition/Baldur.ini

looking into how to allow this; I suspect that a hard link (instead of symbolic) would work. Best be sure you understand what that means before doing it.

Another way to do it would be to symlink the entire sandbox container for BGEE instead of linking a subpath. instead of a symbolic link for ~/Library/Containers/com.beamdog.baldursgateenhancededition/Data/Documents/Baldur's Gate - Enhanced Edition make one for `~/Library/Containers/com.beamdog.baldursgateenhancededition

I haven't tested this with BG:EE, but I've done it with other sandboxes and it works.