When iCUE is running, it changes how it works for some reason. If you close iCUE, it will work as the directions say, with the yellow light, but when iCUE is running, it runs in the "Actions" tab of iCUE. You can still make macros with the key combo. When iCUE is running:
• Press the MR button.
• Press a G key.
• Input your key combination.
• Press the MR button again.
Edit:
When iCUE is running, the macro will include your pauses and such, when iCUE is not running, the MR button will not record delays, but instead seems to play the key combination at a quick even speed.