I downloaded the PDF version of the Keyboard Maestro 7 Documentation to have a local copy on my iMac instead of reading it off the Web.
Unfortunately, the PDF is not very useful because the supposed intra-document links (e.g., Table of Contents) actually link to the Keyboard Maestro folder on Peter's Mac:
Correct. The preview is made by printing the single web page to a PDF, and Preview has a very long standing bug where by local links are not kept local.
Perhaps one day Apple will treat bug reports as something to actually be fixed, or perhaps one day I’ll find a better solution of turning the web page in ato a PDF, but until then its the best I can create I’m afraid.
You can, of course, use the single web page version, which assuming you have an internet connection will generally give better results.
Using Google Chrome, I displayed the single page version of Keyboard Maestro 7 Documentation, and then did a Print using the Chrome print option. From there I selected "save as PDF.
The PDF this created had internal links that worked fine -- moved to the proper section within the PDF.