Initially, I understand the Macedonians had a Greek culture (Art, Religion, etc) because they were Greek. But then the Romans dominated the Macedonian Empire and adopted their culture too, and that fusion would give birth to what is known as Greco Roman Culture. But why did the Romans adopt their culture at all?
This question was already addressed on this site. Romans adopted Greek culture because it was higher than the Roman one. And this is not unique such case in history. For example Mongols (and other peoples) who conquered China adopted Chinese culture. Barbarians who conquered the Roman empire also adopted Roman culture.
On the statement that Macedonians were Greek, there was some disagreement in antiquity. They wanted very much to present themselves as Greek, indeed. For the same reason which is stated in the first paragraph. But not all Greeks agreed with this. (One of the Macedon kings, Alexander I wad a nickname Philhellene which seems to indicate that Macedonians were not considered Hellenes).