Agreed. Which is why we should pool resources and share the first time we encounter such a bug. Or even a possible such bug that we can then debug together.
For my part, I have had an eye out for it for three years and have yet to encounter such a bug. Here's my hand-wavy reasoning for why I think it can't happen: for it to happen, an outer macro would have to rely on a use of a specific gensym inside a nested macro. I can't imagine how that could happen short of actually trying to use a gensym:
(macro1
(macro1
..x23..)) ; brittlely relying on the gensym turning into *x23*
And if we are to worry about this we can worry about all gensyms anyway.