I've never brewed with them (or any nuts for that matter) but Macadamias are hellaciously oily (although that oil is very healthy).
I would think that you shouldn't expect very much head retention on the finished beer since even crushing and toasting is not going to get all of the oils out. The heat will leach some out, but there will still be plenty left.
I would also think that the flavor contribution from the Macs would be fairly subtle, unless you really use a shritload of them. In any case, the flavor here would, I should think, be the focus of the experiment rather than the head retention factor.
If you make the brew, be sure to report back on the results. I'd be interested to know how it turns out...and what you wind up spending to make it.
Macadamias are certainly one of the more expensive tree nuts out there.