First things first:
Macro-evolution and Micro-evolution are terms that have been abandoned by the Scientific community since like the 1930's, because there is actually no difference between the two, since both are governed by the same processes. The only thing now that distinguishes them is time frame, but even that can be variable, as the whole principle of Punctuated Equilibrium highlights.
Also, it has been observed in many cases. We've even manipulated it through artificial selection. It has been observed in nature, for example, with new plants emerging through
polyploidy. These are just one of many examples.