Well, its a bit of a kludge, but you could use AutoIT to automatically complete that box every time it comes up. AutoIT is free windows automation software available at 'http://www.autoitscript.com/autoit3/'.
For example, use AutoIT with the following code, which will run forever independantly of TeraTERM until you exit it using the task panel icon:
While (1)
While WinExists('MACRO: Error')
ControlClick('MACRO: Error', '', 'Button2')
Wend
Sleep(500)
Wend
This will automatically click on continue whenever a macro error window exists. This should allow any number of TeraTERM scripts to run simultaneously unattended.