The whole point of DSLR cameras such as your Nikon D60 is that they are interchangeable lens cameras. This allows the use of specialized lenses that are designed to do a specific task extremely well, rather than restricting them to a single, jack-of-all-trades lens such as is permanently attached to your Fuji S4000.
If the most important criteria to you is zoom range and maximum magnification with a single lens, you were better off with the Fuji, even if you spend a boatload of money on a wide variety of lenses. Look at it this way: You can buy a Nikon 16-85mm f/3.5-5.6 DX lens, and a Nikon 70-300mm f/4-5.6 VR lens and take most of the same pictures you could with the Fuji. The image quality would be better, but you still wouldn't be leveraging the potential of your Nikon 60D. If you really want the reach of the Fuji, you need a 500mm Nikon lens, and 500mm from anybody isn't cheap. But any 500mm lens currently on the market (other than a cheap, fixed aperture, low quality mirror lens) is going to allow you to shoot at faster shutter speeds and your images will have significantly less noise (due to the greater light gathering capability of the much larger sensor) and more control of the depth of field than you could do with your Fuji.
If you really want to harness the power of your D60, you need to learn why prime lenses account for the vast majority of the worlds best photos in terms of technical quality. Prime lenses have only a single focal length and no 'zoom', but they often have much wider apertures that allow you to shot at f/2, f/1.4, or even f/1.2! That is close to 5 stops difference! All other things being equal, a picture you would need to take @ 1/15 sec at longer focal lengths on your Fuji, which would leave any moving subjects blurry, could instead be taken at 1/500 sec which will freeze all but the fastest athletes! Sure, you can capture an historical moment with inferior equipment and win a Pulitzer for the way you communicated the moment. But in terms of pure image quality, the old saying "Gear doesn't matter" is only half true. The truth is, "Gear doesn't matter, until it does." If you need your camera to perform beyond its technical limits to pull off a shot, at that point the gear does matter because it is preventing you from getting the shot you want.
In purely technical terms, your Fuji S4000 has the equivalent zoom range of a 24-720mm lens on a FF camera. For your 1.5X crop body D60, that translates to a range from 16-480mm. What you lose with the Fuji is light. A LOT if it. The sensor on the Fuji measure 6.17mm x 4.55mm. That gives it roughly 1/14 the area of the 24mm x 16mm sensor in your D60. Even though the Fuji has a 14MP resolution, compared to the D60's 10MP, those pixels are so tiny they don't collect near as much light as each of the much larger pixels of the D60 can. This results in lower image quality, especially in lower light environments.
As for the relationship between Telephoto zoom and Macro capability, there really isn't one. Macro lenses allow closer focusing than most lenses. By allowing you to get the subject closer to the camera, it allows you to increase the size of the subject in your photo. Macro capability is measured in terms of Maximum Magnification (MM) that is only indirectly related to focal length. Magnification is expressed as the ratio between the actual size of the subject and the size of the subjects image that is projected onto the film/sensor. A 1:1 Macro lens, which has an MM of 1.0x or 100%, means if the subject is 15mm tall, the lens can get close enough to project a properly focused image of the subject on the focal plane that is 15mm tall. A 1:2 lens would have an MM of 0.5x or 50% and would project an image 7.5mm tall of the 15mm subject. This is because if both lenses are the same focal length the 1:2 lens would require twice the distance to properly focus on the 15mm subject.
Most high powered telephoto lenses are designed to focus on very distant subjects, not to reproduce nearer subjects at high magnifications. A 600mm lens will do very well at taking a 6 foot tall human at very large distance (a little over 400 feet) and filling the 36mm tall sensor frame (full frame is 36mm x 24mm) in portrait orientation. I've never seen a 600mm lens that can get close enough to a 36mm subject to fill the same frame and properly focus on it. By the time you are close enough to the subject, you are inside the lens' Minimum Focus Distance (MFD) by several yards/meters. Most very long telephoto lenses have very large MFD and thus small MM numbers. That is what a Macro lens is designed to do: by reducing the MFD you can focus on a much closer object and get a higher MM.
There are some telephoto zoom lenses on the market, usually in the 70-300mm range, that claim to be Macro capable. But if you examine the specifications of such lenses, you see that at best they are 1:3 in terms of magnification. They can only focus close enough to project a 15mm image of a 45mm subject. That gives them an MM of .33x or 33%. While it is theoretically possible to design a zoom lens with 1:1 Macro capability, it is not practical. Most true Macro lenses have a fixed focal length designation that allows them to be simpler, cheaper than a comparable zoom lens would be, and produce better image quality at closer subject distances.