When a macro-editing window is active, the Save and Save As commands on the File menu change to the Save Template and Save Copy As commands.
You can think of the Save Template command as the "save macros" command — that's what the command is designed to do and why it's available only when a macro-editing window is active. The command is called Save Template because it saves the templates the macros are stored in along with all the other items stored in there, such as autotext entries and styles. Use the Save Template command to save macros as you edit them, just as you use the Save command to save documents as you're writing or revising them, rather than waiting until your work is completed.
The Save Copy As command is designed to make it easy to save a macro as a text file, which is useful if you want to store macros apart from the template. When you choose the Save Copy As command, Word displays the Save As dialog box. In Windows, Word proposes the macro name with a .TXT extension as the filename. On the Macintosh, Word proposes the macro name alone as the filename. In either case, you can change the name Word proposes and even select a different file format if you want to.