Macrocyclic musk refers to the type of molecular shape, and is a certain category (or family) of musks. The molecules of these musks are composed of a large ring or circle.
Polycyclic usually refers to the molecule containing several smaller rings.
There is not necessarily a difference between how the two are perceived, but in general, the macrocyclic musks smell a little "puffier", maybe analogous to a rubber balloon full of air, softer, more round, less rigid and less definite. (It can be very difficult to try to describe smell in words) The polycyclic musks often tend to be a little more on the amber/woody side, or "stuffier" in a less nebulous way.
Then there is yet another family of musks, the latest to be discovered, which are called the "Rose musks", like Edenolide, Romandolide, Helvetolide. They tend to be more fruity smelling (often a little pear or apple) and distantly reminiscent of the rose-like smell of beta-damascone.