Sounds a little odd. My Ipaq/Win XP certainly doesn't do that. I can transfer stuff between Pocket XL and full Excel with little bother - except that formatting goes all to pot.
Have you looked at the contents of those macros when they are on the desktop machine? It may be a setting on one or the other that has unexpected effects.
I assume you are using ActiveSynch to keep the Ipaq and the desktop in synch?
Want me to e-mail you an Excel file that started life as a .pxl, to see what it does?