Let me see if I understand your question correctly. You seem to manage a master schedule with subprojects. These subprojects are files your team of schedulers owns. Also, it seems all the project files (master and subprojects) live in the Project Online environment.
If I interpreted the situation correctly, then it is possible for each project file to have its own macros. When you insert a project file into your master as a subproject, you are basically just consuming raw data from the subprojects. You will not consume any of the local changes to their environment. Basically, the connection within the master are links to the subprojects.