I had a couple of macros that I couldn't find. I could search All Macros for the names and find them that way, but I couldn't remember what group they were in. I eventually found them by "brute force", I searched for the exact name and then scrolled through the groups, one at a time, looking for any group that showed more than "And 14 Unmatched Macros" etc. And yes, the macros had been accidentally dropped into the wrong folder, one adjacent to where they belonged.
But I knew there had to be a better way. And I found it.
With the macro selected in the All Macros list, clicking View > Reveal Parent Group does exactly what I needed.
Also, if you have a Smart Group selected (whether a KM-defined one like "All Macros" or one you've made yourself) then when you select a macro (directly or after a search) the parent Group is shown in the top-right corner of the Editor window, in grey type. You can see this one is in the Group "Nige N Tests":