Why?: Because by default, macros are saved to the same directory MacroGamer is installed, "/Program FIles (x86)/MacroGamer". The Windows account you are using must have Write permissions to that folder. Non-admin Windows accounts do not have Write permissions in most scenarios. Try one of the solutions below.
The game may be running with administrative rights but MacroGamer is running with basic rights (see UAC to learn more) Try one of the solutions below.