Make sure your macro is�'move backward one word' (option+arrow) and not 'move to beginning of line' (command+arrow). �If the macro looks fine, there might be some sort of interaction between the snippet tab stops and the macro system but unfortunately I have only played around with making my own macros and rarely use them for actual work.

Protip: the macro is stored in a plist file somewhere, and you can edit it by hand to make it do exactly what you want.