LSF sessions are jobs that all run in their own little silos, without any knowledge of what's going on around them. LSF handles their success (or failure) and allows (or disallows) the jobs scheduled after them to proceed. So what you want to do, in the way you want to do it, lovely though it would be, isn't possible.
But here's what you should be able to do:
Isolate the part of your first job which creates the macro variables - hopefully it's all at the beginning
Copy the contents of these variables to a semi-permanent SAS dataset that all your jobs can see
Hint: have a look at sashelp.vmacro
Split that job in two, and make the second half dependent on the first
Reverse the process from the first job to read the macro variables from the dataset
Depending on your environment, LSF will then parallelise as many jobs after that as it can
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