Here’s a quick descent into geekdom. I’ve seen hundreds of new macro lens owners run to me with the same question: "When I focus closely, my maximum aperture closes a LOT! Is my lens broken? Was it made cheaply?"
Nope. In fact, your aperture isn’t really changing at all. All that happens is that to come up with a good, general-purpose macro design, there is a trade-off that at super-close distances, a "bellows effect" means that the lens is less effective at transmitting light. (Something that’s measured in t-stops) Note, though, that the aperture of the lens isn’t closing down (measured in f-stops). But new lenses and cameras are smart, so they let you know "Hey! You’re not getting as much light as you might think, and you’ll want to adjust for that!"
Confused yet? Maybe this video will help. We start out with a way-out-of-focus image of a nickel, and there’s a big ol’ blown highlight. Note that as I use the Nikon 60mm AF-S macro to focus all the way in, the exposure gets darker, and the blown highlight goes away. But the *aperture* doesn’t change — you don’t all of a sudden see more depth-of-field.
So don’t freak out when you buy a new macro, but adjust your ISO or flash power accordingly when shooting close-up.