It's not really a bug, it's more of a not entirely obvious feature
When you select effect in the Zxx macros config window, the plugins listed are only there for reference to help you select the right parameter. If you want to control parameter x of any plugin you can use the same macro.
So how do you select which plugin you want to control parameter x of if it's not what you select in the config? (no I'm not a mind reader, just a lucky guess). Well, the macros are sent to the active instrument in the channel you enter them, so just assign the effect in FX2 to an empty instrument, enter a note and instrument number and SF1 on the first row of the same channel you want to enter your Zxxs in and you're ready to go!
I hope this isn't a too cunfusing description, and if anyone knows of a better way then please share it.