A macro is missing from a PDF
Confluence asks an app for exportable content, and if the macro does not offer any, the macro is simply absent from the export.
Several Formatting macros are in exactly that position.
#What to do
Check the export support matrix. If the macro is listed as not exported, the PDF is behaving correctly.
Publish to a Capable Site instead. Coverage there is much better and links keep working.
Or place a plain Confluence equivalent alongside the macro for the export case.
The standalone app exports fewer macros than the suite. Four against seven. If you are following documentation that says a macro exports and it does not, check which product you are on.
#A few things worth knowing


An image missing from an export is usually a different problem: an external image the export could not fetch.
Site export is richer than PDF export and behaves differently for some settings.
Nothing about export affects the page itself.
#Related
Check the matrix. It is probably expected.
