Try using your macro against 10 mobs in a row, then use separate non-macro'd attacks against 10 mobs in a row. You should notice an immediate difference.

SE's engine is not smart enough to queue an ability in a macro. Note: it's not as simple as it sounds, although I don't know why. RIFT had the same issue with macros for the first 4 months. In RIFT it was 100x more critical to get macros working because the game relied on them to a significant degree, unlike FF14.