Hi,
Yes that was one of the first things i asked about, when Pigments was launced, as a part of the "everything can be modulated". It's not possible to internally modulate the Macros. They can be automated in a DAW though.
I guess the Macros is considered to be performance controls just like velocity, aftertouch, expression and modwheel. Together with keyfollow those controls can't be internally modulated either.
One can also argue, that instead of modulating a Macro with a modulator, then you can just assign the parameters the Macro modulate to that modulator. You can use the "Assign all to" feature that have been added to Pigments to move the parameters from a Macro (one modulator) to another modulator (like an LFO), so that's easy.
So somehow one can say, it does make sense, you can't modulate Macros internally in Pigments.
