That sounds a little strange. I've d/l'd numerous macros from here, and almost all of them are working fine in Shake 3 running OS X. There are a few that have had errors, but by and large everything has worked. I'd check a couple of things- 1) What are you using to uncompress the archives? I know that certain versions of Stuffit/Stuffit Expander are notorious for hosing certain files during decompression. 2) Check the macros with a text editing utility like BBEdit- open the files, and check the line breaks- if they've been converted to Mac line breaks, try converting it to Unix line breaks.
Also, check the files once they've been installed in the terminal, with something like a "ls -al" command, and make sure they are executable, by doing a "chmod a+x shakeMacroName" or "chmod 755 shakeMacroName". One of these should fix your problem.