The macro will never miss any steps.
The macro will be canceled if you have more than 50 simultaneous macros running as described previously - avoiding that is necessary.
Other than that, the macro will continue to execute the steps. However the system may process the steps more slowly, and if the system gets behind or goes to sleep, then the steps may not function correctly (eg keys may be lost).
To avoid that, you need to ensure you don't allow the system to sleep the screen, screen save the screen, or go to sleep, and you need to ensure the macro does not run sufficiently fast that the Mac falls behind (eventually the event queue will fill up, or the events will be processed by the wrong window).