There is a delay. If you press a skill during the GCD of another skill, it will be queued, causing it to be activated the instant it is possible. If you press a macro during the GCD of another skill, nothing will happen, it will not queue. The action will only come out if you press after the previous GCD has fully completed. You will, no matter what, lose a fraction of second each time you choose to use the macro over using the skill manually. This doesn't sound like much, but in practice, this tiny amount of time adds up.
