It seems to me like you have a issue with the actual "saving of the macros to disk". And from my crashing experience and connections lost over the years I know that these don't get saved to disk unless you logout or zone.
Thus I'll also assume that it'll try to "read from disk" the macros every time you zone.

So I'd like to suggest the following things that might point to your problem.
1) Are you running the game with a Windows-User-Account that has "Administrative Privileges" (WindowsXP or higher), or at least write access to the folder that FFXI is installed in ?
2) Is some sort of Anti-Virus/Malware tool preventing filechanges ? (typically if it was installed in the "Program Files" folder)
3) Maybe having some other form of disk-write-failure or maybe the POL-User-files marked as Read-Only ? (not sure if this last one would matter)

Just something I'd like to suggest to try and check when you can play again.