Anyways, even if the macro are changed, we can play with them to find the sound we like, may be a bit different than the original preset, but that can be a plus

Indeed, Macros do not update their status when a new preset of the VST is loaded, nor when its parameters are moved: again, this because parameters assigned to Macros "ghost out".
If you look at the Ableton Live parameter list, the parameters which are mapped to Macros are highlighted with a green square, and cannot be adjusted.
This still does not prevent the actual VST or AU GUI parameters to be moved: unfortunately, doing so "breaks" the mapping until the next time you will load the project.
Your wish is definitely legitimate (make the communication from mapped parameter to macro bi-directional) and I will submit it internally right now.