I use the Status Menu shown in the macOS menu bar along with the Iconaholic Loud Icon set.
That way the status menu blinks at me whenever Keyboard Maestro is running.
This feature along with a kill-all-macros macro with a easy to hit hotkey trigger has seriously saved my bacon about four times over the years and kept me informed when things macro were not quite going to plan.
@devoy's idea is a good one.
You can also use a palette – here's a good example:
Is There a Way to Generate a Wait Indicator Until the Macro Finishes? - #8 by JMichaelTX