According to this post in the MSDN VSX forum, the next version of Visual Studio after 2010, currently named Visual Studio 11, will not have macros (the Macros IDE, macros Explorer, etc.)
Macros in Visual Studio 11 Developer Preview
In VS 2010 the Macros IDE was actually the VS 2008 Macros IDE (it didn't use the look and feel of VS 2010 and the About window showed Visual Studio 2008 Macros). It seems that macros aren't very used (not providing C# as a language option to write them didn't help) and Microsoft has decided to remove them completely. It is somewhat unfortunate because the closest extensibility approach is add-ins, which require to learn the IDTExtensibility2 interface and the quirks of its OnConnection method, not to mention how to add commands and buttons.