The default timeout is 99 hours.
Yes, in the action (gear)
menu.
I don't understand most of this paragraph.
The RetryLoop action does not have any limits. It does not have a timeout, since its action is immediate. It simply restarts executing actions from the start of the surrounding loop.
The Continue Loop, Break From Loop, Retry Loop, refer to the surrounding loop (or currently, surrounding Group, but that is a bug), or failing that, to the macro as a whole.
So in your example, the Retry Loop action would execute the first action of the macro next and continue from there. Except that it will never execute since the Cancel All Macros action will cancel all the macros, including this one, so the last two actions will never run.