I've got the G9 in the Canon housing using the Inon 165.
I think macro mode just tells the camera to start looking closer when in autofocus mode. I don't think it has any effect when the camera is in manual focus mode.
As to zoom, I make a determination on how much zoom (for macro I think of it as "magnification") before I start on the shot, then move the camera back and forth until the subject is in focus. More zoom equals more magnification, but it also lessens depth of field... which makes it difficult to hold the camera at the optimal distance to be in focus. Less zoom equals less magnification, but more depth of field. Trying to adjust manual focus underwater is too painful. Much easier to just move the camera while in manual focus mode and concentrate on the "magnified" area on the display.
When I say the depth of field is small, at full zoom shooting a pygmy sea horse the size of my pinky fingernail, the head of the seahorse can be in focus while the tail is out... so you "might" get a half an inch total focus range. (I haven't measured it, but it's pretty darn small.)
So the short answer, I typically use half or more zoom with the macro lense because in those situations I want a close-up of something small. If I don't want to zoom a little bit, I generally don't bother with the macro lense and it's requirement for manual focus in the first place.
