If I understand your question correctly, this really has to do with the way applications in general work, rather than with VBA specifically. When you're using a PC you can assign a VBA program to <Ctrl-e>— in Excel, say — and Excel will record it. If you were doing the same thing on a Mac, you'd have to use Option+Command+e instead, and Excel would record that.
But the Excel you'd run on your PC and the Excel you'd run on a Mac are two different programs and they don't communicate with each other when you make the assignment to either one. You'd have to create the macro separately on each machine and do the assignment separately too.
Could you make them communicate? I'm not a Mac user, but I'd think that if you have a Mac and a PC on the same network, you could write a program that would take the VBA code you'd created, store in on the PC and assign it to <Ctrl-e>, then open communications with Excel on the Mac, store the macro there and assign it to Option+Command+e. Sounds like a lot of work, though.