This is strange. If you use the KM "Open a File, Folder or Application" command to open an alias or symbolic link to a web app (Use Safari web apps on Mac - Apple Support), you'll get a Macro Cancelled Open File failed with path (path to file) error message.
This applies to both aliases and symbolic links (ln -s).
I can open the alias and/or symlink in Terminal.
And KM can open the actual web app file itself. And KM can open aliases to any other file I've thrown at it.
FWIW, it seems like web apps are more complicated than the seem: How do Sonoma’s Web Apps work? – The Eclectic Light Company
So I'm not sure if there's a good solution to this or if it's even worth fixing. I'm perfectly fine opening the actual apps directly in KM.
Most likely Keyboard Maestro is simply passing the original as the file to open which is then being resolved (if desired) by the target applications.
Which makes some degree of sense, since otherwise how would you open the alias itself if that was desired (eg, open an alias file in an application that trashes what you open, you would want it to be the alias trashed not the target).
Are you ensuring with the Open an Application action that the file is being opened by the Finder? Because otherwise it could be opening the alias in some other application which may give unexpected results.
Oh! Well there's the problem. I've been opening mainly applications and just left the "open with" as "Default application". I changed it to "Finder" and now it works. Thanks!
Yes, generally Keyboard Maestro should be complaining about this - the system may have very weird ideas about what the “editor” for “.app” files is.
So in the Open File action it should display a warning:

if you specify a .app file but leave it at a default. Clicking that explains the issue.
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