Yes. Any icon selected from the Icon Chooser is stored in a handful of bytes.
No. Well, maybe you could create an app with the icon, but it would need a bundleid, so I don't know how you would do that easily.
Any change to your macros in the editor results in the entire Keyboard Maestro Macros.plist being written to disk (changes in quick succession are all written at the same time).
Yes. It wont appreciably affect Keyboard Maestro’s performance (as in the normal use of Keyboard Maestro macros). But it can degrade the editing performance if the macro file gets too large, which it can do if you start adding lots/large images to the macros, including as custom icons.
Any change in the editor results in the entire macro database file being written.
You can see the size of the Keyboard Maestro Macros.plist file in the Keyboard Maestro preferences folder, which you can open from the Help menu.
It depends on the Mac and especially the Mac’s harddisk. For an SSD, it probably don't matter as much since they are very fast.
If the file is a few MB, it is probably not an issue. If the file is a few hundred MBs, you are probably going to notice slowdowns in the editor.
They are all stored as compressed tiffs internally, so no.
No idea. Probably 64x64 is sufficient, maybe 128x128 for Retina. I don't really know.