The description on page http://mousebird.github.io/WhirlyGlobe/tutorial/building_from_source.html is bad.
You need to create MaplyBridge.h yourself. You may decide to not create it in the "BinaryDirectory/WhirlyGlobeMaplyComponent.framework/Headers/" folder but instead create it somewhere in your project. As described in the tutorial, you still need to go to Build Settings and look for “Objective-C Bridging Header” then correctly set the path to your new MaplyBridge.h".
In a later path of the tutorial, such as in http://mousebird.github.io/WhirlyGlobe/tutorial/ios/your_first_globe.html, you will add code to MaplyBridge.h. For example, to get the tutorial's swift code to compile you'll add the line "#import " to MaplyBridge.h.
See http://www.learnswiftonline.com/getting-started/adding-swift-bridging-header/ for some more background information