I've had a closer look at what is actually happening.

I had previously thought that the playlist had been already inserted and the menu just left on screen, but this is not the case.

After the macro is run the "Insert menu" (Enqueue, Append, Replace, Insert) is left on screen and the playlist has NOT been inserted. As soon as any further key is pressed, the playlist is then inserted but the further key press is acted upon as if the menu was not active. (If I press the "right" button it inserts the playlist but then immediately skips to the next track)

It does seem like a timing error in that the menu cannot keep up with the stream of button codes. I would just go back to the earlier version of Hijack, but I really like the "start up volume" feature of the later Hijacks.