Macros can be generated in the NC code for multiple Z levels of a milled feature. To generate these macros, your post processor must support them, and you must turn this function on for the post.
You could set Minimize tool changes in the Ordering dialog instead. Using the Default Attributes setting includes macros for any parts you create.
Now when you generate NC code, you get macros for the milled features that are milled at multiple Z depths.