Ok, Kentico must be checking where condition to be valid then. Right, you can trick it like that by using ##COLUMNS## then. Put this into Query:
exec Proc_CMS_GetMyRows ##COLUMNS##
And this into Selected columns macro (single quotes are important!):
'{% CurrentUser.UserName #%}'
But all in all, it's a bit of hacking the system. It's not designed to support macro in queries. And ideally, if you can switch your query from calling a stored procedure to actual query where you can put ##WHERE## condition that would be the right way of doing things.