This seems to still be a thing. It works fine, but it does give a warning in modules. I’m not sure if that would prevent a theme from being submitted to the marketplace, if that’s of concern to you.
I’ve found a better solution for my use-case though, and that is to just import the macros in a shared template base, and then they can be accessed “globally”, even inside of modules. Works great, except for the module previewer.