I've successfully assigned macros to my Cinema 7, model 7200 (Non-learning) to the PIP on/off and swap keys. The strange thing is, they won't work unless I either wait 5 minutes or so since I last pressed them OR I first press one of the two "regular" macro keys first. Of course, doing the latter means I've activated whatever macro sequence the regular macro key performs unless I cover the LED.

Any thoughts?

It sounds like what you may have done is not press SETUP for long enough when you finished programming the macro.

The correct procedure is to hold SETUP down until the LED flashes twice, if you release it too soon, you have effectively included a press of SETUP in the macro itself, which would cause the buttons to return to their original state for 10 seconds after the macro completes.

Rob.
http://www.hifi-remote.com