I made sure that it was checked, it had become unchecked, then I quit KM and restarted it. I had accidentally updated to the beta version 9.0d2 and looks like that feature has been removed. Any more ideas?
The feature is not removed, but Keyboard Maestro will correct the path of the login item to match the running version when you launch it.
Ensure you are running whatever version of Keyboard Maestro you want to run, and then check the Launch Engine at Login checkbox.
Verify it by looking in your System Preferences, Users & Groups, Login Items - Keyboard Maestro Engine should be listed there (with the checkbox off, since the checkbox means βHideβ which you do not want - this is quite confusing when compared with other applications lists in the Security & Privacy section). Keyboard Maestro itself should not be listed there.