Macros all run in the main thread, so they will not in general benefit from multiple cores (though your Mac may be doing more things while Keyboard Maestro is processing macros).
However certain facilities use multiple cores. In particular, the Find Image action will use all your cores to search for the matching image. A few other CPU intensive actions will use multiple cores. I'm not sure if the OCR code uses multiple cores or not.
Generally, I'd say multiple cores will not particularly benefit Keyboard Maestro except in the Find Image facility.