Macrophages and what they consume
Macrophages and dendritic cells generally recognize large foreign complexes. They often do this through the recognition of pathogen or damage-associated molecular patterns (PAMPs or DAMPs). Otherwise, cell-mediated pathways involve cyto/chemokines which direct macrophages and the like in the region. We also have to consider, does the compound in question belong in the region, or is it insoluble amongst the tissue? In these cases, the compounds are also degraded/engulfed. So how does the body go about recognizing small, soluble foreign molecules? 

These are called haptens. If these small molecules can bind to a larger carrier complex in your body, so that it now looks like there's something foreign, regardless if the initial carrier complex was foreign or not, this may present cause for immunologic reponse (as in the mechanism of urushiol, the toxin in poison ivy). There are certain T-cells, like NKT and γδ T cells, which can "see" these antigens despite their lacking a type I or II MHC presentation.

The short answer is it depends on what the injected drug does once it begins interacting with your physiology. Vitamins, on the other hand, are regularly uptaken by cells for metabolism, and I wouldn't imagine macrophages engulfing exogenous vitamins outside of it's needs on their own.

Source: Cellular and Molecular Immunology, 8th ED.