I hope this isn't a duplicate.
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:
Now just make sure "Keyboard Maestro Engine" is selected, and click Open:
Then you can click the checkmark, and you're good to go: