DTOO145 - Excel - Macro storage must be in Personal macro workbooks.
The Record Macro dialog box includes a drop-down menu allowing users to choose whether to store the new macro in the current workbook, a new workbook, or their personal macro workbook (Personal.xlsb), a hidden workbook that opens every time Excel starts. By default, Excel displays the Record Macro dialog box with 'This Workbook already selected' in the drop-down menu. If a user saves a macro in the active workbook and then distributes the workbook to others, the macro is distributed along with the workbook, which could put workbook data at risk if the macro is triggered accidentally or intentionally.
Set the policy value for User Configuration -> Administrative Templates -> Microsoft Excel 2010 -> Excel Options -> Security -> Trust Center 'Store macro in Personal Macro Workbook by default' to 'Enabled'.