Should a macro used in #if be defined?

In a preprocessing directive such as this, if the macro is not defined, it is treated as 0.

That is guaranteed by the language.

You can rely on there not being a compilation failure.

Here's the C++ wording:

[cpp.cond]/11: After all replacements due to macro expansion and evaluations of defined-macro-expressions, has-include-expressions, and has-attribute-expressions have been performed, all remaining identifiers and keywords, except for true and false, are replaced with the pp-number 0, and then each preprocessing token is converted into a token. [..]