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Any macros being used on the Server Scheduler will need to be placed on the Server itself in order to run correctly. You could also package the workflow as a zip (yxzp) file and schedule the zipped package instead of the workflow itself. This may be easier to do instead of maintaining a number of macros on the server.
This is one of those things that Alteryx should just do for the user. If I'm working in Tableau and go to publish a dashboard it will automatically pickup any local files I may have used.
The 'create a package then schedule that' is a good tip, but is really a step the user shouldn't have the think about. At the time os scheduling, server should check for dependencies then let the user know it will be taking local files x, y, z as they are not available on the server.
There is an additional option to package assets with the workflow when saving to the gallery. This was added when scheduling was added to the Gallery component of the server. When you save a workflow to the Gallery. File-Save As->Your Company's Gallery - you will be presented with workflow options and the ability to Manage Workflow Assets. This should make scheduling with custom macros much easier! Hope this helps.
Since this particular behavior is expected there is no current timeline on an update to this feature. However, a great way to request a feature update like this would be to post in the Designer Idea board. This allows the Alteryx development team to see and gauge interest on specific updates to the product.