For me it works: 16.0.3+hotfix 2, on XP SP3.
Started recording, stopped recording, saved and assigned key. Key worked.
Listed also in List Macros, from where I could select it for editing and vusermacs.e was opened.
You should try with a clean config, and also post your OS.
When you open Tools-Options-Keys Binding, do you see the key assigned to your macro?
It might be also that some other external app is stealing the key. Did you assign a special key combination?