You may not have Future on your machine. Can you select File > Restore Standard Fonts in the ‘Font Book’ application? This will ensure that you have all the standard Mac Fonts. You’ll need to restart Hype (and maybe your machine) for the font to appear for you. If that doesn’t work, can you select Help > Report an Issue and report this bug?
This page of our documentation has information on how to use your own font in your document.
http://www.cssfontstack.com/Futura has more information about compatibility.