Caulker completed his move to Cardiff this week.
Mackay said: "To be part of a squad is a very good thing and at the time you are loathed to leave because it has a comfort blanket associated with it.
"You are wrapped in it, you have been there and you know it. To actually step out and go and further your career is a brave decision.
"It is something that I would commend players for when they do it. You see a situation in football when they leave a club and it is unexpected. When it is for the reasons of playing football regularly then I think that is a brave decision. It shows that a player has maturity attached to them and where they see their career going.
"People will be surprised that Steven left Tottenham, but I have a great deal of time for the fact that he wanted to come here to play football and further his career."