Mosek.jl is not compiling in Julia 1.8 macOS ARM (M-series Processor). It is unable to load libmosek (~/.julia/packages/Mosek/3NJdY/deps/src/mosek/9.3/tools/platform/osx64x86/bin/libmosek64.9.3.dylib).
It is probably an issue with Apple Silicon M1 not supported by Mosek 9.3. Recently released Mosek 10 natively supports Apple Silicon M1.