OK, I did some research and know now how to reproduce.
When in INI file mode it is necessary to use relative paths for the macro files.

I have all my macros in a folder called “My Macros”, this folder is located in EmEditor’s folder, not in “My Documents” folder.
So in eeCommon.ini in [Macros] section I have relative folder names, e.g.
Macro0=.My Macrostest.jsee

Then it is not possible to add this macro onto a toolbar.