In act 3, scene 6 of Macbeth, Lennox and a lord discuss the events in Scotland. What do we learn about Malcolm and Macduff?  

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In act three, scene six, Lennox walks with another lord, and they discuss their concerns regarding Scotland under Macbeth's tyrannical reign. Lennox sarcastically remarks that Macbeth was saddened by Malcolm and Donalbain's horrific crime and mentions that he behaved loyally by immediately murdering Duncan's chamberlains after he discovered that the king was deceased. Although Lennox suspects that Macbeth assassinated King Duncan, he dares not voice his opinion aloud. Under Macbeth's rule, Scotland is a hostile environment, where his political enemies must remain silent to stay alive.

After Lennox's sarcastic remarks, he mentions that he heard Macduff "lives in disgrace" and is out of favor with Macbeth for not showing up to his coronation. Lennox then inquires as to where Macduff is hiding, and the lord mentions that he traveled to England to petition King Edward for help. The lord also informs Lennox that Malcolm is also in England, where he is living as a guest of King Edward. According to the lord, Macduff is attempting to gain Edward as an instrumental ally to defeat Macbeth and restore Malcolm to the throne. Macbeth has heard the news of Macduff's plans and prepares for war. Lennox and the Scottish lords hope that Macduff and Malcolm will return to Scotland and dethrone the tyrant Macbeth.

Last Updated by eNotes Editorial on April 3, 2020
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Lennox and the lord are all too aware that Scotland under Macbeth has degenerated into a blood-soaked tyranny. But they daren't say so openly, as they could end up as the latest victims of Macbeth's terrible vengeance. So they are very cautious in their conversation, using hints, suggestions, and innuendo in discussing the lamentable state of Scotland. For example, Lennox doesn't come right out and say that he thinks that Macbeth murdered Duncan. Instead, he resorts to sarcasm in suggesting that perhaps Fleance might have committed the dirty deed, as he fled the scene of the crime not long after:

Whom, you may say, if ’t please you, Fleance killed,
For Fleance fled (act III, scene vi)
As regards Duncan's son, Malcolm, we learn from the lord that he's fled south to England, where he lives as a guest of King Edward. As for Macduff, he's approached the English king to try and get him interested in an alliance with the people of Northumberland and their lord Siward to help topple Macbeth. Only once Macbeth has been overthrown will it be possible for Scottish nobles to sleep soundly at night and put food on their tables.
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In act 2, scene 6, of Macbeth, Lennox describes the grief that Macbeth must be feeling, believing that the sons of Duncan were also his murderers. Their guilt is assumed due to their flights from Scotland; Malcolm has gone to England and Donalbain to Ireland. This guilt is, by the same logic, applied to Fleance, who has fled after the murder of Banquo. Lennox is unfortunately unaware that Macbeth is the true guilty party for both of these murders, though Lennox’s assessment of the punishments is ambiguous. He appears to be questioning whether Macbeth’s killing of the two guards was the right call—”was that not nobly done?” though he doesn’t come out and say that he’s suspicious: “Ay, and wisely too.”

The unnamed Lord tells Lennox that Macduff is rallying allies, and has refused to give allegiance to Macbeth, who is now making preparations for the defense of Scotland against Malcolm, who has been “received / Of the most pious Edward with such grace.” When Macbeth summoned Macduff, Macduff responded with “Sir, not I.” When Lennox hears this he expresses hope that Macduff would be cautious.

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In act 3, scene 6, of Shakespeare's Macbeth, when Lennox and the Lord talk, we learn that Malcolm is in England attempting to secure help to overthrow Macbeth, and Macduff has joined him. They hope to convince lords from Northern England to take an interest in what is occurring north of the English border.

The scene is important more for what it reveals about others than what it reveals about Malcolm and Macduff: it reveals that others in Scotland are unhappy with Macbeth's rule and that others strongly suspect Macbeth of treachery. The Lord and Lennox speak ironically, indicating that they do not believe the coincidences that have supposedly led to so many deaths. The indication is that they believe Macbeth is to blame.

But, concerning Macduff, particularly, this scene reveals the fruition of Macduff's suspicions. He first reveals that he suspects Macbeth when he is the one to question Macbeth's killing of the two grooms—the only possible witnesses to Duncan's assassination. Then Macduff does not attend Macbeth's coronation. He is also notably absent from Macbeth's castle.

Macduff has, then, by the time of this conversation between the Lord and Lennox, acted on his suspicions and, apparently, decided his suspicions are accurate.

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If you are talking about Act III, Scene 6 (and I think you must be) it's such a short scene that we really do not learn very much about their personalities or anything.

All we really learn is that Malcolm has gone to live at the court of the King of England.  The king is treating him with great respect.  Macduff, we learn, has gone down to England to ask King Edward of England for help against Macbeth.  He, Macduff, has refused to return to Scotland when Macbeth ordered him to come back.  Macduff does not trust Macbeth.

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