OK, so Ascension Island is not exactly Macaronesian, but Atlantisia elpenor (if it hasn't been reclassified), the flightless Ascension Rail, is known only from bones recovered from fumaroles. Presumably the bones' survival was due to a dry atmosphere. I understand that a flightless Night Heron also was identified there only from bones, and that possibly there are other extinct species to be identified from similar remains.
Quite apart from bird fossils and subfossils being rare because of the fragility of bones and the tendency for warm moist areas to advance decay of biological matter, the islands of Macaronesia would have been frequent stopping-off points for hungry and thirsty sailors. As the tale of the Dodo has it, any flightless bird (a characteristic of island endemics) without a predator-avoidance response approaching such humans is, to put it in the vernacular, 'toast'.
MJB