Potential bug with 'slash' not working in macros that reference other cue lists?

This is an existing bug, also reported ~v2.4 / 2016: Adding execute link via macro - Eos Family - Eos Family Consoles - ETC - Community  I don't see an immediate workaround - you could have your Macro put "Cue Execute" on the command line, and finish it from there.  But I understand that is not the shortcut you are looking for.

Thinking about workarounds: if you are looking for a single fog hit for a certain amount of time, would a submaster work in lieu of a cue?

If so, you could write a macro 'Sub x at %' (and even add a duration to the macro before turning off the sub).  Subs should still play nicely with Go To Cue Out.
I've also found that using a macro with Go To Cue 2/1 can allow both to play simultaneously without the Execute issue (assuming your cue 1/ is not competing with 2/1 for fog levels and 2/1 only has fog data).

Is there a way of getting a cue to execute a submitter directly, or does the cue need to trigger a macro that then triggers the submaster?

The cue does need a macro as an intermediary to the submaster, as the submaster needs to be given a level (and can be given a fade time).

An other work around could be to link 2 Cuelists.
Since Linked Cuelist will fire the same numbered Cue at the same time...

Not to organiced, but an option.