Macros will fail to load if they contain errors. 
The problem with your code is that [IPress,Texture:MakeAlpha] doesn’t return the alpha it creates, so you can’t assign it to a variable.
Instead you need code like this:
[IPress,Texture:MakeAlpha]
[VarSet, MyQuickAlphaName, [IGetTitle,Alpha:Current Alpha]]
then later you need to use the variable like this:
[IPress,[StrMerge,“Alpha:”,#MyQuickAlphaName]]
EDIT: Note that your variable will only store the name of the alpha so long as the macro is active. If you play another macro, or use a plugin, then the variable will be lost.
If you want to store the variable for use later then you need to save it to disk. Let me know if that’s what you’re trying to do and I’ll explain the code.
HTH,