Thanks for the suggestions. I did miss the trailing slash requirement. However, I've fixed that and still have the same error. As I read the documentation, the libname statement does the downloading, I don't need to do it first. But it is a bit confusing.
However, when I run the program with macro debugging I see that it is calling the autocall library search path just before the error. If I run the program without my autoexec.sas which sets up my autocall library, it runs without error. (Haven't checked for sensible output yet). So I think there is something wrong with either my autoexec.sas, or there is a bug in the code where it doesn't handle an autocall library properly (not handling the comma in the augmented search path properly). The relevant code in my autoexec.sas is similar to that below.
options sasautos=("%sysget(userprofile)\Data\SASMACRO",sasautos);
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