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Description
Name of the resource
AWS::CloudFormation::Macro
Resource name
No response
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Details
The Lambda Function that is used for a Macro must be in the same region that the Macro is defined. You may create the Macro while pointing to a lambda function hosted on a different region, however all attempts to execute the Macro will fail with a "Failed to execute" error.
This is undocumented in the Macro and AWS::CloudFormation::Macro documentations.
Here is a stack overflow page that states this behavior.