We prefix all global names with secp256k1_ to avoid name collisions and ensure that the library can be header-only. If we believe in this, we should probably do the same for macros. (And even we don't believe in this, I tend to think that having a prefix everywhere is just more consistent.)
Perhaps it makes sense to separate internal macros and external "config" macros as suggested in #1121 (comment) by @sipa:
I think it may be useful to have a strict separation between "external" macros (provided in config.h, or through compiler -D flags) flags, and "internal" macros which guide the actual source code conditionals?
Also, we could reconsider the naming of the VERIFY macros as I suggested in #1381:
And while we're touching this anyway, we could consider renaming "check" to "assert", which is a more precise term. (In fact, if we redefine VERIFY_CHECK to be empty in production, we have almost reimplemented assert.h...)