Are the macros not visible in a macro file you are examining or not available when you login to the account/character again?

If you're examining a file: Are you looking in the right place? There are several macro files and it can be easy to open & examine the wrong file. Character specific macros are stored in WTF\Account\<account name>\<server name>\<char name>\macros-cache.txt.

If the macros are not visible when you login again:

1) are you using the same wow instance to login to that account/character?
2) as the other posters have pointed out, how are you exiting the game?