I came across this problem via a colleague today. He had a design for a front end system which goes like this:
class LWindow
{
//Interface for common meth
Your colleague is probably thinking of the MFC message map macros; these are used in important-looking places in every MFC derived class, so I can see where your colleague is coming from. However these are not for implementing interfaces, but rather for details with interacting with the rest of the Windows OS.
Specifically, these macros implement part of Windows' message pump system, where "messages" representing requests for MFC classes to do stuff gets directed to the correct handler functions (e.g. mapping the messages to the handlers). If you have access to visual studio, you'll see that these macros wrap the message map entries in a somewhat-complicated array of structs (that the calling OS code knows how to read), and provide functions to access this map.
As MFC users, the macro system makes this look clean to us. But this works mostly because underlying Windows API is well-specified and won't change much, and most of the macro code is generated by the IDE to avoid typos. If you need to implement something that involves messy declarations then macros might make sense, but so far this doesn't seem to be the case.
Practical concerns that your colleague may be interested in:
So basically your LWindow solution is a better solution, to minimize headaches down the road.