I don't think there is anything you can do with multiple cursors that you cannot do with macros or regex replacements. But I also think multiple cursors are worth having!

I'm an Emacs user and there is a good multiple-cursors package for Emacs which I also use, so I have access to all of macros, regex-replacement and multiple cursors. I find that I do use all of them, but in different situations. I think of multiple cursors as "lightweight, instant feedback" macros.

I often screw up macros because of little edge cases that don't occur in the location where I'm recording but do occur somewhere else I want to apply the macro. You don't notice the mistake until you run the macro at that other location! If you ran the macro many times, you might not even notice the mistake until much later. When I do notice a mistake, I undo and edit the macro so that it applies to the other location too and then rerun.

With multiple cursors, if I can see all of the cursors on the screen at once, I usually spot mistakes while I go along and fix them immediately. Macros are like the compile and run cycle, whereas multiple cursors are like using a REPL (even more like a Bret Victor style live environment). I always prefer REPLs for the same reason.

If I can't get all the cursors to fit on the screen at once, I typically use macros, but thinking much more carefully about the macros than I would with multiple cursors. If you almost never screw up macros multiple cursors might not benefit you. But then again they might, because they let you be sloppier and go faster.