Here are the results of my short survey.
The following make utilities put all make macros into the environment of the called programs:
Pelles pomake, GNU make, Microsoft nmake, and OpenWatcom nmake clone
The following do not:
Borland make, Digital Mars make, OpenWatcom wmake
So there doesn't seem to be a consensus here. As I worked heavily with Borland's make, it is clear where I got my expectation from :-)
Sorry to bother you, I now withdraw this bug report.