You don't have two characters with the same name, do you? Or a thief character that uses a disguise kit and logs out under a "disguised" name? Or, possibly your character logs out while under the "Incognito" spell?
If none of the above apply, or even if they do, here's a simple workaround. After creating all your macros and logging out, find your shard folder, and inside that, the folder for the character (name) you set up all the macros for. Copy and paste this file into a separate directory you create just for this problem. You can even make a desktop shortcut for this, if need be. When you need to log in that character, copy and paste the files in this directory back into your uo directory under that character's name, then load UO and log-in with that character.