I found there is no way to upload / make a custom icon / pic for macros. Maybe a feature requested here. 
The similar thread mentioned 1 year ago, but it doesn't work at all here. Copy the local pic and paste only shows the pic icon instead.
Also, smart group's icon is not able to change at all , right?
smart macro group 
Copy and paste pic , seems don't work at all
Hi Shruru,
Certainly Keyboard Maestro allows custom Macro icon. You should copy the content of pic instead of copy the pic file, then paste to Macro or Macro Group icon placeholder.
Simply open pic file in Preview.app then Command -C will copy the content of pic.
Here is my Keyboard Maestro with lots of custom icons..
Hi @shruru, I'm actually currently in the process of customising my macro and macro group icons. Here's a macro group icon for my folder actions:
And here's a couple for two different macros:
Rather than dragging-and-dropping, I tend to ⟨CMD⟩+⟨C⟩ and ⟨CMD⟩+⟨V⟩ them into place.
Great, Thanks a lot. I got it now.
