Forget about my suggestion about changing owner and group, it didn’t really worked (nyquist couldn’t load). I think I found why Audacity wasn’t working 
I deleted the old installation and ~/Application Support/audacity files. Did a fresh reinstall and, as expected, Audacity couldn’t find any plugins neither load nyquist.
All files in the Audacity app had the xattr com.apple.quarantine set. Even when I told gatekeeper that it should trust Audacity, it wont allow audacity to read nyquist and plugin folders. I tried to remove that extended attribute running:
xattr -r -d com.apple.quarantine /Applications/Audacity/
And now Audacity is working like a charm!