Solved
Zephyr macro's are not showing up in Confluence page, though they are working in JIRA dashboard gadgets.
After adding the macros in a confluence page (mirroring how I configured in JIRA dashboard), no data shows on page after publishing. Application links are configured both ways from JIRA and confluence.
Zephyr Scale Reporting for Confluence version : 2.0.0,
Zephyr Scale (JIRA ) : 8.0.2
JIRA version : 8.11.1