If you write a macro which returns null from the getRenderMode() method, the documentation says the rendering engine will expect wiki text back from the execute() method and will render it after calling execute(). This is basically true, except that any macros in the returned text will not be rendered - they will just be output, {}'s and all.

As a workaround, you can return text which has had just the macros rendered, but I'm not sure if this is a safe thing to do, since many macros will return XHTML, and I have no idea what will happen when that gets passed through the engine...