MacDonald has been in caretaker charge since Martin O'Neill's dramatic resignation on the eve of the Premier League season but two wins in four league games were not enough to convince the board to appoint him.
Instead, the job was given to former Liverpool boss Gerard Houllier but outstanding commitments with the French Football Federation mean he will not officially take over until after Saturday's clash with Bolton at Villa Park.
Villa's first game since the appointment of the Frenchman ended in a 2-1 defeat by Stoke on Monday night but Bolton boss Coyle does not expect the upheaval at Villa Park to make his team's task any easier.
He said: "There's no easy time to go to Aston Villa, and Kevin MacDonald I think has done a terrific job.
"I was a little bit surprised, I thought he may have been offered the job permanently because of how well he's done and the stature and the esteem the players hold him in.
"We're under no illusions how difficult the game will be. They have some terrific players. I watched them on Monday and they were a little bit unfortunate not to win. We're going to have to be at our very best."
MacDonald has already ruled himself out of the running to be Houllier's assistant and must now decide whether to go back to his former role as reserve team boss or to seek pastures new.
Coyle continued: "It's his last game in charge at this moment in time because who's to say further down the line he's not offered other jobs?
"He's Aston Villa through and through, as he's shown. And within the whole period of time, the way he's conducted himself has been exemplary and a real role model for Aston Villa Football Club.
"The way he's kept the players focused, he's obviously somebody who is very good at his job. It may be emotional for him but his focus will be on trying to win the game."
Bolton have made a decent start to the season, picking up five points from the opening four games, and go into the clash on the back of their first defeat at Arsenal last weekend.
Coyle, though, has seen his options limited by injuries and suspensions, with the club this week failing in their bid to have Gary Cahill's red card at the Emirates Stadium overturned.
The defender therefore begins a three-match suspension while first-choice goalkeeper Jussi Jaaskelainen serves the second of a similar ban, meaning another chance for 22-year-old Adam Bogdan.
The Hungarian made his first Premier League start at Arsenal and, despite letting in four goals, Coyle believes Bogdan could take plenty of pride from his display.
The Scot said: "I thought he performed ever so well. When you go to clubs of the stature of Arsenal, there's going to be times when you're under pressure.
"He made some great saves and he was unfortunate with a couple of the goals. I think if anything he'll have taken great confidence from the match and he goes to Aston Villa with our full backing because potentially he's a top, top goalkeeper."