I'll bet you a dollar that you're using one of the new 'Roles' that we introduced with NX 4. The problem is that you chose one of the roles that has had the menus 'pruned', that is the not-as-often-used functions have been 'hidden'.
Now you have two choices to get the Macro option back on the Tools menu, but the easiest is to just go and select a role that has 'Full Menus'. You will notice if you go to the Roles pallete that each Roles comes as a PAIR. The first one uses the 'pruned' menus while the second one comes with 'Full Menus' (which is noted in the name of the role). So if you've used one of the standard roles, just go back and the select the second one in that pair.
The other option, which you might want to use if you're using a customized role that you've created, is to go back into Customize and reactivate the Macro item under the Tools pull-down by going to the 'Commands' tab on the Customize dialog and then over in the 'Commands' column go down to 'Tools', select it and then with cursor over it, press MB3 and select the 'Add or Remove Buttons' option. When the list of menu items come up, toggle 'Macro' back on.
If you go the customize route, remember to resave your customized Role after making the above change.
As to why we moved 'Macros' down one notch, as it were, is because in the long haul, Journal files will be replacing Macros as the recommended tool, so we really feel that if you can do what you need with a Journal, go that route. Otherwise, go ahead and use Macros since we are not actually going to obsolete them, we're just making them a non-preferred solution, and thus 'hidden' function.
Anyway, I hope that helps.
John R. Baker, P.E.
Product 'Evangelist'
NX Product Line
UGS Corp
Cypress, CA