When the Pronto family first came out, the software wasn't even anticipated. The macro group was designed to be used for programming on the remote itself. It's the only place that is available to record a macro without using the software.
There have been some creative uses for the macro groups, especially on the Pronto's. It can be used to emulate a back function. After jumping to a macro group from a device, tapping the device menu will take you back to the last page that was active on the device side.
Jim L