In the macro edition window, there is no save button, yet macros needs to be saved. It seems that the only way to save is to try to exit the window without saving, for the “would you like to save before exit” dialogue to appear. That UI mechanics seems a bit wrong. I’d suggest instead, or to introduce a save button, or to make an implicit save after every macro edition operation.
Here’s a preview of the Macro editing interface for Audacity 3.0.1 (scheduled for release later this month):
The “Save” button is grayed out until the macro has been altered.