Very interesting!
Thank you all for participating and giving the start of an answer to both the MacPherson question and most generally the origin of tying a Balmoral's ribbons, which I am also curious about.

So, with this information about Old Cluny, I imagine that this habit, rather than an old tradition, is mostly anchored in MacPhersons following their chief's fashion practice then, much like the British following Edward VII's habit of unbuttoning his waistcoat's last button. (Well, this one turned way more global!)
Not many MacPhersons seem to be aware of it indeed.