Local storage for macros, which available for all documents
MS Excel Application have personal macro workbook (Personal.xlsb), MS Word Application have personal template with macros (Normal.dotm). Macros which contained in these storages can be called from any word's document or excel's workbook. But in Visio application there is no place where you can store macros available at the application level !
IMHO: If Visio Team add a similar feature it will be great !
David Parker commented
You can do this by saving the macros in a stencil (probably save it in My Shapes folder). The stencil only needs to be open docked in one document in the Visio UI to make the macros usable. The stencil can be saved in the workspace so that opens automatically subsequently.
It really is very necessary!
VBA-project Viso without integrated software module, which can store macros that are common to all open documents does not allow full use of the program.