In version 11, in the Module Editor you can indeed insert a file that contains the code, but this is not automatic, you have to do it manually going to the Module Editor. That will add the code in the file to the module editor dialog in a very similar way as the $(include=) works in the script. But there is no equivalent to include for macros.
Although macros as such are not officially supported, you can create and idea in the Ideas section asking for that functionality so people can vote it and R&D take into consideration for further releases of QlikView.
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