The macro setting allows the camera to be closer to the object of interest and still achieve focus. This means, for a coin photographer, that a small coin, such as a dime,
Half Dime, cent, etc. will show more detail than if the picture was taken from farther away. "True" macro produces a 1:1 image or greater, where the focused image on the camera's sensor is the same size as the actual object.
There's a caveat, however. If your camera is too close to the coin, you have problems getting enough light on the coin for taking pictures. For example, my Canon S3 IS is a great little camera, with a "super macro" mode that literally allows the front lens of the camera to touch the coin and still be in focus. Of course, there's no light, then, so there's nothing to gain taking it to that extreme.
Without a macro setting, you just won't be able to get good pictures of any but the largest coins. It's a must-have setting, in my opinion, for coin photography.