With a DSLR you have aperture, shutter speed and ISO. Those are the 3 components that make up the exposure that you capture. Those three settings combine to give you an exposure and are the only things that can be used to adjust or change an exposure.
As such f8, 1/200sec, ISO 200 will give you the exact same photo on macro mode as in AV mode as in auto mode as in full manual mode. The key difference between the modes is how you control the camera and how settings are weighted in importance.
For example in sports mode the camera will put more weight toward getting a faster shutter speed in the given light. If you combine this with auto ISO it will typically raise the ISO and use a wide aperture (small f number) so that it can get a fast shutter speed.
In macro its likely assuming that you want a smaller aperture (bigger f number) for the increased depth of field - quite similar to landscape except that its also more likely to put the popup flash up (if your camera has one) in macro mode.
The pre-set scene modes in a DSLR are things most people move away from pretty fast as even a very basic understanding of the priority modes (aperture priority and shutter priority) can give very similar results whilst putting more control in the photographers hands. Experience and experimentation will teach you how different aperture and shutter speeds affect the visual display of your photos and combined with reading you can build up a pretty decent understanding of what settings you'll want to use in different situations for different creative effects.