Did he do any appearances as Macho Man when not wrestling? I know he played Bone Saw but I don't know what they credited him as in the credits.
Not sure, but I know he did the Slim Jim ads on his own and in full character.
He also had no issues transitioning to WCW as the Macho Man.
I suspect it may have been an arrangement along the lines of the character owner licensing the use of that character to the entity employing them. So, whoever signed Macho to a contract got to use his name/likeness for the duration of that contract.
I believe that's how Vince was able to release the first Ultimate Warrior without Hellwig's consent - WWF simply compiled archive footage for which Hellwig was already paid, so they didn't need to pay him again; nor did they need his permission.
"Ultimate Warrior" was property of James Hellwig, but that footage was property of Titan Sports.