Ctrl+Alt+Del, Ctrl+Esc and Ctrl+Break keys break the recording or playing back process, by evicting the hook. That means you can't record or playback those keystrokes. But if WinMacro ever hangs, you can easily recover control by using any of those keystrokes.
The Windows key doesn't work properly with WinMacro. Trouble is, it gets recorded as some other keystroke, and playing it back can give weird results. So you'd better move your mouse to the Start button than rely on the Windows key.
WinMacro is intelligent enough to recognise files it recorded, so you can't simply play any file. But if you ever fiddle with the recorded file yourselves, the application may hang. Of course, you can always use the keystrokes mentioned above to recover.
And remember, WinMacro simply records mouse and keyboard messages. So if you have an application that opens up in different window coordinates everytime you open it, then your mouse actions on that window may not be played back correctly. Notepad on Windows 98 has this behaviour. It opened up on center screen while I was recording, and opened on the left corner of the desktop when I played back. As a result, my mouse clicks on the window didn't play back correctly. However, you wouldn't have any problem with keystrokes, and you can always use Alt+F4 to close any application :)
That's all folks. If you find anything else, mail me at email@example.com, I'll try my best to fix it.