I am one of those people as well that have come back since 2017 to look at the forums to see if iCUE can do this yet.
At least from Feb 2020 it can't, it seems.
https://forum.corsair.com/v3/showthread.php?t=193943&highlight=macro
I'll just keep using Razer I guess... My K95 RGB, scimitar, and M880 have been sitting in my closet for years now. Wish I noticed this major flaw in iCUE when I could return them and saved the ~$300 they cost. Hopefully iCUE will add this functionality before we move to controlling our computers with your brain or something.
Edit: The biggest problem is that the Scimitar needs macros for the thumb buttons to work. So if you have any repeating macro running the thumb buttons don't work LOL!