I wonder if it's the same problem as that which causes macros on the number pad to not save in the UK.
If it is, you will need to edit the keynames.txt file. Someone help me remember how to find out what your keyboard names them?
[edit]nm, I remember. Create the macro Do not log out - then go to the char's folder and open the macro2d.txt file - Look what the macro has been recorded as. Compare that to the entry in the keynames.txt file.
I know in the UK the default names for the numbers are NUM 1, NUM 2 etc but the keynames.txt defines them as Num 1, Num 2. To save macros to the number keys where you have English (UK) set you must edit the file to match what your keyboard produces.
I suspect I'm not making much sense here. Help?