The results I have found researching this question seem to all fall into the "maybe" category. The MS document on coauthoring indicates that coauthoring of .docm files is supported, but makes no mention of concurrent coauthoring.
We have Word files with extensive VBA macros that we would like to concurrently coauthor. I know it doesn't work in SharePoint 2010 (our current system) but we are migrating to SPO later this year and are trying to determine if it might work in that environment. We were not able to concurrently coauthoring .docm files in the test SPO site to which I have access, it gave us an error that the document was locked by another user. Concurrent coauthoring of .docx and other Office365 files worked as expected.
We are not sure if there are specific library or site settings that might be changed to enable concurrent coauthoring of .docm files.