Probably because the maximum magnification of a zoom lens is at the minimum focussing distance at the widest end of the zoom range. So if you try and zoom whilst at maximum magnification and minimum focussing distance the only way the camera can make the image bigger is to digitally zoom.
Page 146 of your camera manual isn't particularly clear about it, but does show the focus distances for macro mode as only applying at the wide end of the zoom range.