Most of it never did. The South still is Hellenic and part of Greece. The smaller norther part which is in FYROM and Bulgaria today first experienced raids by the Antes (a slavic group) from 520 onwards. Groups, although not significant to change the whole region, began settling there in late 6th, early 7th centuries. Soon afterwards however the Bulgars under Kuber arrived and settled, forming one of the first bulgar-slav communities, roughly at the same time Asparuh's Bulgars were crossing the Danube delta. We know it took at least until the Christianisation of Bulgaria for the nation to take its slavic character, so we might as well consider the 9th century a possible date when the parts of Macedonia that were inhabited by Bulgars (now Bulgarians) became slavic. During the Ottoman occupation the Bulgarians spread further south and maps from the late 19th century show them inhabiting areas as south as Thessaloniki. This changed after the Balkan wars in which a lot of the Bulgarians were expulsed north and then again after the Second World War, when the last wave of Bulgarians from southern Macedonia left primarily for what would become FYROM.

I think there are two issues here that the other posts aren't dealing with: one, what does it mean to be Greek? And two, were the Macedonians Greek? Broadly speaking the answer to the first one is "it changes a lot" and the second is "kind of, but not really".

"Greek" is historically a heavily loaded and very complex term--in the modern world the term is largely defined within the concept of nationalism, but this is a relatively recent development. A couple hundred years ago the definition would largely be religious, a couple hundred years before that it might mean intellectual or pagan. In the classical period, which is roughly the run up to Alexander and Philip, the definition was based on lineage--you are Greek if your parents are Greek. There were elements of the cultural definition that would come to the fore during the Hellenistic and Roman periods (you are Greek if you worship Greek gods, speak the Greek language, and follow Greek customs) but Greekness was still very much a closed system.

So, were the Macedonians considered Greek? Kind of, but not really. The Macedonian kings themselves claimed descent from the legendary kings of Argos, and used that to prove their fitness for entrance into the Olympics, although not without controversy--and if you need to prove you are Greek that implies that there is some doubt on the matter, and given that Herodotus had to argue in favor of the Greekness of the Macedonian kings that indicates that even in his day there were doubts (which are driven to the fore by the later very important statesman and orator Demosthenes, who called Philip a "barbarian" repeatedly).

But more importantly, this only applies to the Macedonian kings themselves. These kings were only able to gain entrance to the Olympics by claiming non-Macedonian descent. Essentially, they needed to portray themselves as Greek kings ruling a non-Greek people. So Macedonians themselves were, essentially, not Greek.

It hasn't. The region Macedonia, though largely in Greece, is spread out over several countries (see: https://en.wikipedia.org/wiki/Macedonia_(region)#/media/File:Greater_Macedonia.png ). I still associate Macedonia with its hellenic past, despite the republic Macedonia claiming its name (with, being in the region of Macedonia is not completely off). Greece has, however, disputed this and does not, afaik, recognize the chosen name of the Republic of Macedonia.

There still is a hellenic Macedonia region within Greece, see https://en.wikipedia.org/wiki/Macedonia_(Greece).