There are many things we label as bad when programming, for various reasons. Repeating code is slightly bad. But writing function like-macros is extremely bad.
You should not try to replace something slightly bad with something extremely bad. As it turns out, the programmer putting out fire with gasoline in their attempts to avoid code repetition is a very common pitfall when we look at broken C++ program designs. Don't go out of your ways to avoid code repetition! Less "DRY" and more "KISS", for those who like design buzzwords.
The reasons why we should avoid function-like macros are many: they are type unsafe, it is easy to write subtle precedence bugs when writing them, they are hard to read, they are very hard to debug and maintain.
But mostly we should avoid them because individuals inventing their own personal, secret macro language makes the code impossible to read. Other C++ programmers know C++. They don't know your secret macro language. Therefore you should strive to write the code in C++ instead.
In your specific case, you could simply have written a function instead. Perhaps something along the lines of:
bool exception_failed (const std::string& str);
This could likely be a private member function too. If the reason why you can't do this is because you've got lots of variables scattered outside a class, then probably you should have created a class.
Cleaning up file handles and mutexes is ideal for a little local class that you can create an object of at local scope, to get all the clean-up handled by RAII. This might reduce the need for exceptions too.
Regarding exceptions, my experience is that it is always best to stick to the standard ones unless you have very specialized needs, which is rarely the case. Most often you just wish to send a string around. The best option is to rewrite the API can't be rewritten to use
std::runtime_error. If that's not possible, then it might be justified to use a wrapper to standardize the exception types.
If you have some function
rotten_tomatoes, then you could create a wrapper just to get rid of the custom, cumbersome type:
void foo_wrapper (int x)
catch(const rotten_tomatoes& ex)
throw( std::runtime_error(ex.msg()) );
Or better yet, don't throw an exception when there's no need for it and return an error class or enum. I started this post speaking of bad things we do when programming, and exception handling is definitely one of them. They should be used with caution and only for the most severe forms of errors, if at all.