You shouldn't worry about this. You are taught what you need to know.
Answering the questions: Macros yes. VBA no.
Having said this, notice two things:
- There are other analytical tools that right now are seen as much more relevant (e.g. alteryx, tableau, …)
- I still don't know how to build a macro and nevertheless was super-successful as an analyst.
Learnt it if you want to learn it.