They must have done something wrong. Macros are expanded when you ahead-of-time compile your code, which doesn't take place in the run-time environment where you hot load, but in the build environment. It doesn't matter whether the macro are simple, or whether they can inspect lexical environments and look up type info and whatnot.
Compile-time costs should never factor into hot reload, because the stuff being loaded should already be compiled.
Maybe they aren't explaining it; there could be certain semantic problems preventing existing state from being re-used on what should be a hot reload.
Macros create certain issues in reloading. If you change a macro such that the expansion requires different run-time support which is incompatible with existing expansions, you have problems. One option may be to reload all the code which depends on those macros, so that everything cuts over to the new run-time support. If you need to support a mixture: hot-reloaded modules using the new versions of the macros, side by side with code made using the old versions, then the old version of the run-time support has to coexist with the old.
If the run-time support for the macros is something which manages state that needs to be preserved on reloads, then that can cause difficulties. The old and new macro expansions want to appear to be sharing the same state, not different silos.