The problem with your regex is that it also picks up some of the comments that also include #define. A simple way to solve this with the example file you've posted is to ensure that the defined macro starts with an uppercase character.
[macroNames, Index] = regexp(str,'(?<=#define\s+)[A-Z]\w*', 'match','start')
%I've also moved the \s+ into the look behind as I assume you don't want the spaces in macroNames
%there's no need to escape #
%there's also need to enclose the required match in ()
With the attached file, this regex should work for the include:
[includeNames, Index] = regexp(str, '(?<=#include\s+")[A-Za-z_0-9.]+(?=")', 'match', 'start')
