I don't understand how's Excel page with macros inside different from random exe file from security perspective? Does Excel have some kind of excellent sandbox implementation, so it's safe to run random macros on the work machine?
No, it's never safe to run random macros. Macros arguably used to be the biggest initial attack vector for threat actors. Maybe still are. Microsoft built a ton of mitigation around it (macros are only allowed in docs with special extensions, macros must be activated by the user, only signed macros will be activated, mark of the web, etc.).
It's not any different just untenable. IT departments tend to block all threat-vectors, with the exception of excel macros as even the most basic user use macros in their day to day job.
A better diffentiating factor would be who developed the macro. If it's built in house by someone merely using it to make their lives easier it's doubtful they inserted malicious code. I guess ideally IT should review the code.
