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Reading LLPSI, I made a list of the proper nouns with macrons in the first lesson of the first chapter:
We encounter with Italia and Eurōpa. But why Europa has a macron but Italia does not? Or why is Dānuvius but not Tiberis? I know some people recommend to just skip macrons for easyness but if I am going to learn Latin, I want to learn it properly since I'm a complete beginner.
Latin vowels can be short or long, and a macron is a sign that a vowel is long. Rōma has a macron over the O because the O in that word happens to be a long vowel. None of the vowels in Tiberis have a macron because all three vowels happen to be short. There's no particular reason why a given vowel is long or short, other than the history of the specific word: it's just part of the word, and has to be memorized separately for each word. (A word can have more than one macron in it, by the way, since any vowel can be long or short; all your examples have exactly one, but that's just a coincidence.)
