Your understanding is half correct. The point is that macros are resolved before compilation. You should think of them as sophisticated text replacement tools (that's oversimplifying it, but is mostly what it comes down to).
So the difference is when in the build process your code is used.
This is orthogonal to the question of what the compiler really does with it when it creates the final binary code. It is more or less free to do whatever it thinks is correct to produce the intended behaviour. In C++, you can only hint at your preference with the inline
keyword. The compiler is free to ignore that hint.
Again, this is orthogonal to the whole preprocessor business. Nothing stops you from writing macros which result in C++ code using the inline
keyword, after all. Likewise, nobody stops you from writing macros which result in a lot of recursive C++ functions which the compiler will probably not be able to inline even if wanted to do.
The conclusion is that your question is wrong. It's a general question of having binaries with a lot of inlined functions vs. binaries with a lot of real function calls. Macros are just one technique you can use to influence the tradeoff in one way or the other, and you will ask yourself the same general question without macros.
The assumption that inlining a function will always trade space for speed is wrong. Inlining the wrong (i.e. too big) functions will even have a negative impact on speed. As is always the case with such opimisations, do not guess but measure.
You should read the FAQ on this: "Do inline functions improve performance?"