I use a Microsoft Natural Ergonomic 4000 keyboard with my Mac, and in previous versions of macOS (Mojave, Catalina) I've had a KM macro setup to emit Cmd + F when I press the Search key on the top row of the keyboard.
When I upgraded to Big Sur, it must have done some low-level changes to the keyboard mapping, because when I press the Search key I get the Spotlight prompt first, and KM only triggers when I press the key a second time.
Quite why that behaviour has changed, I don't know. All the other keys act the way I expect them to, and KM triggers for those keys I've bound macros to. I'm not sure if there's a fix for this, I could try Better Touch Tool or Karabiner Elements but there's no guarantee they won't get pre-empted too.