It's not in the contextual menu, but it is in the macro chooser menu.
@peternlewis – I still think “Select Macro” should be “Go To Macro”.
People have regularly missed out on this feature for years, because they think “Select Macro” means select the macro to execute...
I made that mistake myself back in the day and only discovered the actual function by selecting “Select Macro” and getting surprised by the Keyboard Maestro Editor going to the macro.