Seems to work fine for me.

In[1]:= Install["Vegas"]

Out[1]= LinkObject['/Test/Cuba-4.2/Vegas', 63, 1]

In[2]:= Vegas[Exp[x + y], {x, 0, 1}, {y, 0, 1}]

Iteration 1:  1000 integrand evaluations so far
[1] 2.95067 +- 0.0385019  	chisq 0 (0 df)

Iteration 2:  2500 integrand evaluations so far
[1] 2.95268 +- 0.0120591  	chisq 0.00303856 (1 df)

Iteration 3:  4500 integrand evaluations so far
[1] 2.95262 +- 0.00424643  	chisq 0.00306927 (2 df)

Iteration 4:  7000 integrand evaluations so far
[1] 2.95313 +- 0.0015912  	chisq 0.0198108 (3 df)

Vegas::success: Needed 7000 function evaluations.

Out[2]= {{2.95313, 0.0015912, 0.000737209}}

In[3]:= $Version

Out[3]= 10.0 for Mac OS X x86 (64-bit) (December 4, 2014)

What happens if you try to launch one of the MathLink executables from the command line, e.g.

$ cd /Test/Cuba-4.2
$ ./Vegas

If linking dynamically with the mathlink.framework bundle, a copy should be placed where the system can find it, for example in ~/Library/Frameworks.

Alternatively, configure Cuba with MCFLAGS=-st for statically linked executables.

How exactly did you copy the mathlink.framework? I cannot find this file at all.