First, you can't really compare the hybridization of Macaws to the cross breeding of dogs. So cross breeding does NOT produce a different species. But Macaws are NOT all of the same species. Some may look the same, but there are 13-16 different species of Macaws. Cross breeding them is really not natural.
Hybridization does occur in nature but it is very very rare.
The reason you saw one at the zoo is because the birds are kept in community aviaries and sometimes partners of the right species are not around. But in the wild that's avoided because of mating seasons and geographic isolation etc. There is another reason you should avoid a hybrid Macaw and that's because of the threat of extinction. Almost half of the Macaw species are threatened or endangered because their natural habitats are being destroyed. This is all the more reason we must protect the various species WE hold in captivity.