Thanks! Wii U has a screencap feature, at least.
The very first level of Macro Zone has its star exit!
Past the midway bell, there's a path split. If you're Fire Mario, you can skip the next four screenshots. If you aren't, take the lower path, and you'll end up here. You need to be at least Super Mario.
The box has a Fire Flower!
You can use it to get in that pipe. Just be sure to run over top of the gap--don't try to jump from below. You can't duck jump in this game, so there's no way in this hole once you create the invisible block! (Unless you're Small Mario, but then, you wouldn't be able to fry the blocks clogging the pipe...)
This pipe has nothing to do with the star exit (sorry, everybody). But hey, take heart! You get three lives.
Anyway. If you already had a Fire Flower, you can skip to this screenshot. Here, after the midway bell, I've taken the upper route. Above this row of ? blocks...
...are secret blocks...
...and a secret pipe. You got the Fire Flower so you could unclog this sucker!
Scamper past some ants to arrive at your star exit.
This is the only star exit in the game that activates a shortcut. After you beat the secret level (an autoscrolling level), you head right to the final stage of Macro Zone!