This is a frequent questions from my photography students who get even more confused when they learn about macro lenses and wonder if they have to take macro shots with a macro lens in macro mode or do not need a macro lens because their camera has a macro mode. The real answer actually depends on the camera but most only do two things in strict macro mode:

• Allow the camera to search for focus closer than normally. This is an optimization so that normal autofocus works faster by not searching for a focal lock at close proximity which requires much more precision. Even some DSLR lenses have a Focus-Limiter switch which serves the same purpose.
• Pick a smaller aperture to increase depth-of-field. Depth-of-field is notoriously shallow at close focusing-distances, so most cameras in macro mode will prefer a smaller aperture. Note that I did say prefer, if there is not enough light pretty much all cameras prefer a well-exposed image than a under-exposed one with more Depth-Of-Field.

Pretty much all cameras are capable of focusing to infinity in macro mode but there are a handful of exceptions, particularly if your camera has a Super Macro Mode too. There are more variants such as Flower Mode which may also boost color saturation of reds and greens.

Some cameras have a separate Macro focus and Macro exposure modes. Usually, Macro exposure modes chooses a narrow aperture and also enabled close focusing. While macro focus mode only enables close focusing. If you are control exposure parameters, particularly the aperture, then chances are your macro mode only affects focus. If resulting images of far away subjects are not severely out-of-focus, then there is probably not ill effect.