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Sorry, I'm a bit backed up on support cases over here
I've checked in with our developers, and the reason we wait for keyup with macros is because macros can send keystrokes, and if the keys are still down when the happens, it can interfere.
For example, let's say your macro wants to send some keystrokes in lower case, but your hotkey is set to Ctrl + Shift + 1. If the macro starts running on keydown, and it starts sending those keystrokes, some of the keystrokes may end up in upper case because the Shift key was still down when it started.