I tried it (with MC set to ⌃⇡) and got the same beep.
I then disabled KM’s Full Disk Access (System Preferences > Security & Privacy > Privacy), quit KM, reenabled Full Disk Access, relaunched KM.
Now the macro run without beep. But MC still did not launch.
I changed then MC’s shortcut to something without arrow (⌃⌥⇧⌘7), changed the KM action accordingly, and now it works.
Though the issue here concerns the MC main shortcut (and not the sub-shortcuts for moving spaces), I suspect this is basically the same issue @peternlewis confirmed here:
Unfortunately I noticed later that also non-arrow system shortcuts for MC commands seem to stop working randomly (independent of KM).