The thing about Macy in Fargo was he perfectly captured a BAD liar. In the scene where he was shuffling papers and telling Marge Gunderson "I'm cooperating here!" you could SEE how she could tell he was lying. I have no idea about his politics, but he's probably a lib; even so, you can't deny that kind of skillful acting.
I agree that he was an excellent "bad liar". However, Marge did not clue into his bad lies all that well. She was obviously dumbfounded that he fled the interview.
He is a Lib, but I've never seen him in any overtly political role. I've seen him in ER, as Dr. Morganstern (before ER went totallly left), in "The Cooler", with his former ER co-star, Maria Bello, and in "Air Force One", as one of Harrison Ford's Majors, the one who came up with the idea of parachuting off of the plane (if they could lower to 10,000 feet and slow to 200 knots).