Is it generally a good idea to re-run a half completed macro like that, or is there a chance you'll be doing some of the stored commands more than once (and create multiple fields or whatever)?

So honestly I skipped a step in there during editing (I didn't record it at the time it seems). After the first error, I went in and deleted the half-created content type and started over. Thanks for pointing out that you would NOT want to just run the same macro twice after it screwed up the first time. You'll need to cleanup the mess that might have occurred during the failed macro.

Was the bug in the macro module something we'd need to change if WE were running the module? Or was that just some debugging commentry (a word I made up now) left accidentally that we normal users don't need to worry about?

The problem pointed out and corrected in the video is an actual problem you'll run into when running macros. The code mentioned will solve the short-comings of macro module for this scenario, but there's a chance additional changes might be necessary for other special forms.