OK, I got it working, including now seeing the "Project>Set Auto Load Macro" item on the menu (active after you have opened a Project). I tried using it and it works. Next time I opened that project, the specific macro I established was in the Macro List. Very nice, and what I was looking for.
As far as the Menus and Toolbars, yes, I had "customized" the look I prefer and saved it in the past (using the Layout menu). I had forgotten this. Basically the only customization I did was setting up whether the File View box opens on the left, which Lists will appear on the right side, and which Toolbars appear and where. I did NOT do any menu customization (in fact, I never even thought of it).
The wrinkle here, it seems to me, is that it seems that when a new version of UE comes out, what you SEE on menus might not be the latest set of menu items, just because you are continuing to use an earlier layout that you saved earlier. In this case, my Project menu did not have the "Set Auto Load Macro" item on it, presumably because I created my layout before this option was available on the Project menu. I mean, I didn't ever deliberately REMOVE it, it just never appeared when UE acquired it, it seems.
In fact, when I tried to do what Mofi suggested, the Layout item was no longer showing on my View menu (although I must have used it at some time to establish my customized layout). So, in other words, it seems to me that if you are using a customized layout, your menus can get REALLY messed up when new versions of UE come out, over time.
I used the Advanced>Configuration>Toolbars/Menus>Management to reset my menus. When you do so, it warns you that there is no reset (or maybe it said "default") for it and that it is using "Advanced" for it. That got me all the menu entries, including Project>Set Auto Load Macro, and View Layouts.
So, I think it is good advice (as Mofi says) to reset your menus in any layout you are using, when a new version of UE comes out, to keep them up-to-date. Otherwise, old items might disappear and I suppose new ones might not be there. I think, this is pretty confusing sometimes, but I see this as a function of UE's flexibility and customization, so no complaints from me. I just have to learn how to use it better.
Just one more thought: I do think it is very odd that this Set Auto Load Macro setting is not in the Project Settings dialog. In fact, after getting everything set up and working, I kind of suspected that the macro I established for the first project I tried with the setting would be applied to ALL macros. I did not want this, but figured that was what I would get. But no, it only loaded on the one project I had active when I used the menu to establish it. So, in other words, it is project specific, as I wanted. But then, shouldn't it really be inside the Project settings (dialog)?? Not a big deal, but it is kind of odd, I think.
Thanks Mofi and Ovg!