I've never seen my Macaws chew their nails but my Cockatoo's will do that. I dont see where it would be a problem. Last week my Scarlet was bleeding from the nose. We took him to the vet and couldnt find why it was bleeding. We're thinking he must've scratched the inside of the nose with his nail

. They flushed it, no obstruction, and the vet said to keep a close eye on him. He's been fine since, no more bleeding. He does bite his own leg once in awhile out of frustration, he's done this since we brought him home and is getting better about it, but never noticed him chewing nails.