I figured it out. You have to select CBL before you begin the 995 setup sequence, then you can macro across devices. I tried it pressing TV or AUD before setup > 995, and it didn't work.

I found another thread showing the workaround for discrete on/off for the Moto DCX3400. I've created a macro on my Master Power button: discrete off for all of my devices. So now, if I want to implement the cable box workaround, does the fact that I've put a macro key on my power button mess that up? (If I press CBL > PWR during a macro setup, is it going to be my PWR macro nested into the new macro)