I found a workaround, but if someone has a better and quicker solution, please share.
So since KM checks the Applications folder, what I did was I created a folders called "Keyboard Maestro Custom Icons" and inside I will add .app files created via Script Editor / Script Debugger with no code at all.
Then I convert my png file (or any other format) to .icns using a website like this one:
Then I go to my .app file, right click > Show Package Contents > Contents > Resources > and add my .icns file there.
I don't know if the name itself makes a difference, since the .icns file that's there by default is called applet.icns, but I just remove that file, and rename my convert .icns file to applet.icns as well, just in case.
So I end up with this:
And the .app file looks like this:
Now when I go to KM > Icon Chooser > Applications:
And now I have crisp icons:
I will create a macro to make this whole process faster, but at least this seems to be a good workaround. If anyone knows how to do it without all these steps, let me know.