This is a feature request. It would be really a great feature for doc gen to work with macro-enabled Word Docs. Right now when you try and run a DDP over a macro saved Word Doc in Salesforce, all you get is a doc full of Drawloop tags. No data.
Marcel, are you using a .docm file or a .doc file with a macro? We have no plans to support the execution of macros but have customers that run the macros once we have merged the data into the document.
Could you give us an idea or your use case and what you are trying to accomplish with the macro.