If "Keyboard Maestro Engine" isn't in one of the Privacy Permissions lists, but there's a button, then you can add "Keyboard Maestro Engine" like this:
Click the button:
You'll notice there isn't a "Keyboard Maestro Engine" application:
So open a separate Finder window, navigate to "Applications/Keyboard Maestro", right-click and select "Show Package Contents:
Then navigate to "Contents/MacOS/Keyboard Maestro Engine", and drag "Keyboard Maestro Engine" over to the System Settings "file open" dialog:
Thank you for posting this AI was giving me wrong locations for it. I needed this to be able to run an Then If macro nice to be able to launch this directly without opening Keyboard Maestro or closing it and then opening back up.