Your macro-window is independent from the qmc-settings because it's a end-user-setting if he/she want to allow the execution of macros or not - the logic is quite similar to the macro-handling by ms office.
Normally the user should have also have to enable the fourth option within this window "Always use this ..." which meant that the user-decision will be stored within the settings.ini in its user-profile and won't be asked again for it. Why it's greyed out I don't know.
Before going to above said suggestion by Marcus, please do check from your side whether anyone of you have changed or modified the macros which was written earlier, if so save it and then open as it will always asks for allow macros whenever you modify something. this is just a check or thought from my side before going to settings.