According to the user guide, the macros.mdf file is created automatically when then the software has been launched for the first time.
The file is located on the following patch: $HOME/.fldigi/macros/macros.mdf
You should remove this file and then restart the application, and the macros should be recreated, just in case the MDF file was corrupted.
For additional information, consult the following page: http://www.w1hkj.com/FldigiHelp-3.21/html/macros_sub_page.html