As turned out in this question, thermodynamical entropy (which does not depend on microstates) and statistical mechanics entropy (which depends on the choice of microstates) are two different things. Suppose that we have a system in canonical ensemble. How can we choose the microstates so that the thermodynamical entropy and SM entropy coincide?
For example, consider a gas where the microstates are combinations of positions and velocities of molecules. We can view a pair (position,velocity) as an element of $\mathbb R^4$, and then discretize $\mathbb R^4$ to obtain a grid. How large should the grid size/density be?
Update: The thermodynamical entropy is actually also not uniquely defined: we have $dS=\frac{dQ_{rev}}{T}$. Therefore, it is defined up to an additive constant. So in orther for the two entropies to coincide, one should choose both the additive constant for thermodynamical entropy and the number of microstates for SM entropy.