Multicurors aren't replacement for macros in the same sense as loops aren't replacement for recursion.
I also prefer vim's macros to multicursors, but I think it ammounts to nothing more than habit and preference.
Macros in Vim are going to be much more powerful, with movement commands and selection commands giving yo a more flexible system... I think? Hard to be objective after so many years of Vim.
Not OP, but to take a recent example (although it was in Emacs, I'm pretty sure it would work in any advanced editor), I had a macro select the second half of the open file and pipe it through sort and uniq to replace it with each unique line and their number of occurences. That's not doable with multi-cursors; their use cases intersect but don't overlap with macros ones.
My (admittedly naive) mental model of recursion is basically a loop where you bring your entire stack frame with you (or less, in the case of tail recursion).