Source Insight does not contain a debugger for macros. However, since macros are interpreted, you can easily figure out what's going on by using the "Msg" function at strategic points in your code to output strings and variable values. See: Msg (s).
To begin executing a macro statement at the current cursor position, use the Run Macro. Just put the insertion point on the line you want to start running at and invoke the Run Macro command.
You can dump the execution stack and variable state of a running macro by calling the DumpMacroState function. See: DumpMacroState (hbufOutput).