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Why avoid macros in HRESULT processing?

Why choose or not use macros when determining errors / HRESULT processing / logging?

I went up to the error handling class called through the interface, so I could use the general Boost pointer to call the class when and where I need it. (Honestly, I don't know if this was the best approach, but I basically wanted to see if I could do it and how it would look.) i.e:

typedef std::shared_ptr<iErrorHandling> Error_Handler;

Error_Handler Err_Handler(new ErrHandling);

if (error)
{
    Err_Handler->vDX_ERR(ERR_D3D_INIT_SWAP);
}

I started using the class with DirectX, and since DirectX requires a lot of HRESULT processing, I pointed out the use of a macro to avoid all if / else statements. I came across this:

#define lengthof(rg) (sizeof(rg)/sizeof(*rg))

inline const char* StringFromError(char* szErr, long nSize, long nErr)
{
    _ASSERTE(szErr);
    *szErr = 0;
    DWORD cb = FormatMessageA(FORMAT_MESSAGE_FROM_SYSTEM, 0, nErr, 0, szErr, nSize, 0);
    char szUnk[] = "<unknown>";
    if( !cb && nSize >= lengthof(szUnk) ) lstrcpyA(szErr, szUnk);
    return szErr;
}

inline HRESULT TraceHR(const char* pszFile, long nLine, HRESULT hr)
{
    if( FAILED(hr) )
    {
        char szErr[128];
        char sz[_MAX_PATH + lengthof(szErr) + 64];
        wsprintfA(sz, "%s(%d) : error 0x%x: %s\n", pszFile, nLine, hr,
            StringFromError(szErr, lengthof(szErr), hr));
        OutputDebugStringA(sz);
    }
    return hr;
}

#ifdef _DEBUG
#define TRACEHR(_hr) TraceHR(__FILE__, __LINE__, _hr)
#else
#define TRACEHR(_hr) _hr
#endif

#define HR(ex) { HRESULT _hr = ex; if(FAILED(_hr)) return TRACEHR(_hr), _hr; }

(From: https://www.sellsbrothers.com/writing/a_young_person.htm )

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 static LPTSTR ERR_D3D_INIT_HW =        __T("cD3D::Initialize: Failed to establish hardware.");
static LPTSTR ERR_D3D_INIT_SWAP =       __T("cD3D::Initialize: Failed to create the swap device.");

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