Actually, it can be possible.
When you make a midi macro, you basically map one of the CC's to a slot (SFx).
What's behind the CC can be different per plugin.
So if you assign SF1 to CC0001, then it will be translated to that midi slot. (Can't really explain it well) Another plugin can have a different parameter on that midi slot, but if you assign that plugin to another channel and you still use the SF1 when executing a Zxx, it will control that plugin's parameter.
You cannot assign SF1 with different parameters per plugin though, but if they happen to share the same parameter, then sure.
So this will always work if you assign the wet/dry parameter.
When you generate the midi macro using the controls below, it might say CC?
? is this, but that value is just a reference.