This is not completely true. If you use a relative path, such as "./macros", the base of the path will be the current SAS folder. In batch, that is *usually* the folder containing the program, but not always - it depends on how you started the program and whether you site has changed or added to any of the default system options, configuration files, and autoexec files.
In the SAS for Windows Display Manager, the active directory is shown in the lower right hand corner. For me , it's usually my user directory, but again it depends on how I started SAS and what options, configurations, and autoexecs are in effect.