Just to confirm, KM and all macros are automatically saved to the ~/Library/Application Support/Keyboard Maestro folder without the user having to do anything?
So as long as this folder is being backed up, e.g. to an external drive and/or to the cloud, then you're safe if anything should happen to your computer? (That is, on a new computer, you'd be able to restore KM exactly as it was on the old computer by using the backed up files from this folder.)
Semi-related, is there any reason to have syncing turned on if you only use KM on one computer?
Largely correct. There are also preferences stored in the ~/Library/Preferences/com.stairways.keyboardmaestro.* plist files. But largely if you lost them you wouldn't likely be too concerned.
Not really, no. You can do an extra backup of your macros (just your macros) by turning the sync on and having it stored in a Dropbox folder or somewhere else that can give you revisions. But I wouldn't generally recommend it - especially iCloud Drive can mess up this sort of thing and you could actually revert your macros so it's probably not worthwhile.
Basically, you should back up your entire Mac, all of it, regularly. That will include all of the Library folder, which will include the Keyboard Maestro folder with all your macros, variables, clipboards etc, as well as the preferences which include a few other bits and pieces, as well as all your other vital stuff.
Also, IMHO, never ever trust the cloud as your only backup, including for things like email, and especially for things like photos.
Thanks, Peter! Agreed on what you wrote; my computer is backed up on the hour to both an external drive and to the cloud, and on top of that many of my most important files are on Dropbox.