Found what you meant by preprocessor macros. Thats where the COCOS2d_DEBUG was hiding.
For people wanting to check their preprcessor macros in visual studio,
right click the project in the project manager, then click properties.
Then select configuration properties~~> C/C++~~> Preprocessor.
and in the right you will have the preprocessor definitions.
Mine was hiding there so I couldn’t define it anywhere else.