Sometime after Classic launched I noticed that my pets were not assisting me in combat in dungeons despite them being in Defensive mode. I stopped and re-read the descriptions of each mode. Defensive: “Your pet will only attack enemies that attack you or your pet.”
In dungeon groups nothing is attacking me or the pet, so the pet just stands there. The only solution is to either manually tell the pet to attack a target, or set the pet to Aggressive, which also makes things problematic, because then it attacks anything in sight. Either way, you have to remember to manually do something. I didn’t play Warlock in Classic, BC or Wrath, so some of this is new to me.
Is the solution to manually tell the pet what to attack? Or, turn on Aggressive but remember to turn it off between tank pulls? If so, I can’t say I like this functionality.
you could just make a macro with your opener spell cast.
#showtooltip Immolate
/petattack
/cast Immolate
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Have you ever had a Macro disappear? I used that one you suggested. when I logged in and out of WoW, it disappeared. Very suspicious… 
if your game crashed before you logged out then yes the macro will disappear. Nothing worse then spending 30 minutes making macro to have your game crash and lose all that work. If you logged out normally and it disappeared then not sure what would cause that.
I found the most successful way for me to keep my macros after I made them was to /reload straight after I save it and exit the macro window. At least for me, I haven’t had a macro disappear on me yet using this method. I hope it works for you too if you decide to try it!
i find it easiest to just use to send my pet attacks. I never wait til I am attacked.
Write your macros out of game in the macros txt and then reloadui to grab them. Never lose a macro again.
You don’t need a macro to have your pet attack. Your pet has an action bar just like you do. You can keybind pet actions. I have my pet on defensive all the time, and my middle mouse wheel click puts my pet on passive. Rolling my wheel forward sends my pet to attack, and rolling my wheel backward makes the pet return to me.
You don’t always want your pet attacking, so blindly adding pet attack macros to your spells is not a good option imo.
It is actually, you put the pet attack into the immolate spell. You can hit it to send pet regardless of what you are doing and if you are doing any other action it will just send pet and not cast immolate. It’s very effective and a cheap way to have better pet control with less buttons. Otherwise you would need an excessive amount of extra buttons for the pet bar alone.
A lot of people always have baked pet commands into their abilities, its just super easy to manage that way.
Edit: Yes, you obviously don’t put it on a spell you use constantly. It has to go somewhere you don’t cast constantly and something that’s not instant cast. So putting it on shadow bolt is dumb yes.