Davies put Wanderers ahead in the opening minute at the Reebok Stadium with his first goal since early November.
The striker was handed a start as he had been in the original tie - a 2-2 draw at Moss Rose - 10 days earlier, but those are the only times Davies has featured in the Trotters' first XI in the last seven games, with his involvement in the Barclays Premier League during that time restricted to substitute appearances.
Coyle acknowledges it has been a frustrating period for the 34-year-old and was keen to praise Davies for his efforts in yesterday's match.
"As a striker, it is always important to score goals - I can vouch for that, I think I scored 297 myself," Coyle said.
"It is always nice to be in amongst the goals because it breeds confidence, and I think Kevin certainly enjoyed it.
"But it is about more than just goals in terms of what he brings to the team, and I think he did that, particularly in the first half.
"He was winning headers, he was bringing us up the pitch and it looked as if he had that zest and enthusiasm about him, which will augur well and help us in the second half of the season."
There has been talk recently of Davies, who is in his ninth season with Bolton, potentially moving on, but Coyle has stressed the former Southampton man remains very much a part of his plans.
"He is our captain, he is an integral part of the club and nothing changes in that," Coyle said.
"He will have been disappointed of course - as one or two others will have been - not to have been in the starting line-up of late, but we have changed the system and David Ngog has been playing terrifically in that lone striker role.
"Sometimes you have to be patient, but when your chance comes, you have to do your utmost to say 'here I am, I want to be playing in the team' and one or two did that."
Davies broke the deadlock with little more than 30 seconds gone, sliding in Ivan Klasnic's cross after Macclesfield defender Jon Bateson had attempted to make a clearance out wide but missed the ball and fell over.
Martin Petrov then doubled Bolton's advantage in the 26th minute, collecting Tuncay Sanli's pass and firing in from just outside the area.
It was looking like a comfortable evening's work for the hosts, but the npower League Two outfit were the better side after the interval and went close on several occasions.
The Trotters held on, though, and now face Swansea at home in the fourth round a week on Saturday.
Davies' return to the team was one of five changes made by Coyle from the 3-0 league defeat at Manchester United last weekend and although disappointed that his side faded in the second half, the Scot felt there were several encouraging individual performances from the incoming personnel.
"I thought Kevin was terrific in the first half and Tuncay did well," said Coyle, who confirmed that defender Sam Ricketts had been substituted due to a minor calf strain.
"Young Joe Riley came in again and Michael O'Halloran came on (off the bench), so there were certainly a lot of positives to take from the match."