I am able to create automatically text with circle frame but I cannot use them, as leader looks not similar with balloons leader.
Do you have any suggestion on how I could create directly ballons with macro?
You won't be able to get exactly the same exact behaviour of a leader as text's leader is bound to one of it's anchor points (located on either top, bottom, left or right side of text's bounding box), while balloon leader always points to the center of the text.
However, you can programatically remove leader's break points. Is it going to be enough?