After reading lot's of the posts here, I'm gathering that it is best to learn all your device codes to the macro side of the Pronto and then "alias" panel buttons to those codes. Can anyone explain why this is best and also, when I'm on the macro side of my Pronto, I don't get an option to 'Learn' a code. Do I have to do it through ProntoEdit? Or do I have to learn them on the device side and then move them?
Thanks to everyone for your help in figuring this all out!

The Pronto without ProntoEdit:
Learn codes on device side
Alias existing commands on Macro side
home automatically computed.

With ProntoEdit anything goes.

There is nothing that makes the macro side better for learnt codes (you can alias to either side).
Some people like to create extra pages that are not accessible that will have all the codes, but never directly used, this way when they make changes to the CCF and delete buttons they won't delete the codes by mistake. I think this is what you must have misinterpreted as putting codes on macro side and the aliasing them.

That being said there are some reasons why you might want to put things on the macro side.
Picking a name from the device (macro) list brings you back to the last page used on that device (maro). If you are on the macro page clicking on the device icon will bring you to the last page used on the last device used. Therefore the device icon works, almost, like a back function.
On the Pronto you can change Aliases if the buttons are on the Macro side, that means that if you want Timers or macros, that are easily changed without the computer then they must appear under the macro side.

The only negative from the macro side is that the left/right buttons cannot be assigned.

If you really want to have your codes on the macro side then you only have the two options you mentioned.
Learn directly in ProntoEdit
Learn codes then move the page to the macro side.