You will have to define the macro in the C/C++ Preprocessing options for it to be expanded. And yes, that will make the definition of the macro within the #ifndef section be treated as inactive code (like a comment). You won't see the reference in the #define, but you will see the reference in the #ifndef, so that gets you close enough.
In our next patch to SlickEdit (22.0.2), we are adding functionality to automatically pick up #define preprocessing within the current file. However, this probably will not help you, as I imagine that the #define is in a header file, and the use is in another module, so defining it in the C/C++ Preprocessing options is your best bet.