Yes, the extra delay was required on the marantz 5000i. I do remember that part. :-)
How about not using macrogroups and only devices? Tried that? My sincere apologies on this one. It has been over 15 years since i used this model of pronto. I am recalling lots from memory. If you are touching screen and jumping between devices and macro groups, i think this is the expected behavior. Could you use the left/right button to initiate a macro that would jump to the page in question?

On another note...
Personally, i loved the marantz derivative as it supported multiple jumps whereas the philips unit did not.