The macro system is still broken in Cubase 8. (See this report for the same issue in Cubase 7 http://www.steinberg.net/forums/viewtopic.php?f=184&t=60295 )
Commands are not added in the right place and they can disappear from Macros for no reason without even opening the Macro editor. Also two of my Macros got broken (commands missing in the Macro) when I switched to Cubase 8.
Here is a demonstration of a command being added in the wrong place: