Flash is single threaded, so there is no possibility of parallel execution of Commands.
The only thing that might happen is one subcommand might trigger an async process such a service call, and the next subcommand could execute before the service returns. In this case you want another ICommand to respond to a notification from the Proxy when the service returns rather than placing it as the next subcommand in the MacroCommand's list.
There is also a Notification Chaining Utility written by Trilec that can help with this:
http://forums.puremvc.org/index.php?topic=422.0-=Cliff>