Hi - the macro device is not supposed to be in the inst fx, probably though so ppl won't accidentally produce parameter feedback that could glitch. Inside a doofer renoise won't notice, but take care you don't produce feedback with the device.
For your example - I think you didn't understand the concept of the idea so well.
First you should enable mono glide gff mode, though danoise didn't in his example.
Then you need to disable the "key->pitch" in the keyzones. Yep, you heard right. The pitch modulation with the inertia device will take care of pitching the samples now. You can still tweak the base note to tune your samples.
Then you also need to tweak the inertia/pitch modulation ranges, and the keytracker in sync. You need to match the key tracker values with the pitch modulation range. I think it goes up to +/- 96 semitones, you only have 12 right now. And you can define the macro/operand range to make it tuning perfect. You might need a calculator for this, full note range from c-0 to b-9 is 119 semitones if I recall correctly. Sorry I can't give you a recipe right now, you can just look at the note ranges in keytracker and macro control from danoise's example for inspirations. I might try to help you if you still have trouble with this once I'm sober again. Happy Halloween - isn't it grand to now be able to produce some theremine like sounds with renoise, just crank the sine wave up the inertia, add volume fade in/outs and a vibrato lfo to the pitch moduration *hic*...