I understand that you expected this to be different, but in its current implementation, the MacroEditor command doesn’t have a way of saving the macro.
The wish to modify that behavior is on the list as RH-36003.
Thanks, Willem. Took me 30 minutes to put that together for a model I’m working on, and it was obvious the macro would be saved. Contextually, I would say it’s a bug. This is the only panel that doesn’t save it’s state to either the file or rhino options: