Microsoft has added XLM macro protection for Office 365 customers by expanding the integration with Office 365’s integration with Antimalware Scan Interface (AMSI) to include Excel 4.0 (XLM) macros. AMSI was introduced in 2015, and it has been adopted by all major antivirus products available for the Windows 10 platform since then. It allows Windows 10 services and apps to communicate with security products and request runtime scans of potentially dangerous data. It also enables them to detect a broader range of malware and force more granular restrictions on what macros are permitted to do at runtime.
Source: https://www.bleepingcomputer.com/news/security/microsoft-office-365-gets-protection-against-malicious-xlm-macros/