~/Library folder is hidden (as Apple does by default) hold down the Shift-key when selecting the Go menu in the Finder.
Cmd-Shift-L should also open it in the Finder.
If all else fails then run this in the Terminal to open the folder in the Finder:
open ~/'Library/Application Support/Keyboard Maestro/'
You should always have a find utility on macOS OTHER than Spotlight – one that actually searches your hard drive and doesn't depend upon Apple and their index system.
(Apple does NOT make all files searchable and available to the user via Spotlight.)
EasyFind is one such and is freeware.
It's available directly from DEVONtechnologies and is also on the Mac App-Store.
** NOTE – The specific settings I've used.
Personally I prefer Find Any File for this sort of thing.
At $6.00 U.S. it's not free, but that money is well-spent.