What's the difference between a parameter file and macro file?

Parameter files and "macro" files both basically store drive (and option module) parameter values and user captions (titles).

A parameter file is typically used to create a back-up of a drive's configuration that can also be used to clone the configuration to other drives. This will include all parameter values (for the drive and any option modules) as well as details of the drive's set-up such as its operating "mode" (open-loop, RFC-A/servo, etc) and model number. When a parameter file is loaded into another drive then that drive's mode and parameters be changed to match.

In contrast a macro file usually contains just a small number of parameters and their values and though it will contain configuration data (mode, model, options, etc.) these will not change the configuration of a drive the macro file is loaded into.

Macro files are typically used to configure a particular feature or application parameters on a drive or option module, e.g. I/O configuration or fieldbus set-up.

Note that anything that is not parameterised on the drive/options won't be stored in a parameter/macro file; this includes user programs, web pages, etc.