I found the problem - I hadn't set the 'Use Log File' checkbox on the properties page of the second macro.
This led to another, minor, problem. I set the 'Log Errors' command to log to a specific file, not the default error log. However, the 'Macro Started' message still goes to the default log, while the 'Macro Finished' message goes to the specified log file. Seems a bit odd!